Utility maximization with consumption habit formation in incomplete markets

Utility maximization with consumption habit formation in incomplete markets

This dissertation studies a class of path-dependent stochastic control problems with applications to Finance. In particular, we solve the open problem of the continuous time expected utility maximization with addictive consumption habit formation in incomplete markets under two independent scenarios...

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Bibliographic Details
Main Author: Yu, Xiang, 1984-
Format: Others
Language:English
Published: 2012
Subjects:
Time non-separable utility maximization
Consumption habit formation
Convex duality
Auxiliary processes
Incomplete markets
Kalman-Bucy filtering
Verification lemma
Online Access:http://hdl.handle.net/2152/ETD-UT-2012-05-5590

Internet

http://hdl.handle.net/2152/ETD-UT-2012-05-5590

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