Liquidation of an indivisible asset with independent investment

We provide an extension of the explicit solution of a mixed optimal stopping-optimal stochastic control problem introduced by Henderson and Hobson. The problem examines wether the optimal investment problem on a local martingale financial market is affected by the optimal liquidation of an independe...

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Veröffentlicht in:	arXiv.org 2015-02
Hauptverfasser:	Fabre, Emilie, Royer, Guillaume, Touzi, Nizar
Format:	Artikel
Sprache:	eng
Schlagworte:	Differential equations Dynamic programming Economic models Expected utility Investment policy Investment strategy Martingales Optimal control Optimization Stochastic processes
Online-Zugang:	Volltext
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