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Optimal consumption with reference to past spending maximum

Shuoqing Deng Xun Li Huyên Pham 1 Xiang Yu 
1 UPCité - Université Paris Cité
Keywords : Exponential utility MSC classification 2000 60G57 Verification theorem
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Submitted on : Tuesday, May 17, 2022 - 4:57:30 PM
Last modification on : Friday, August 5, 2022 - 11:55:15 AM

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Shuoqing Deng, Xun Li, Huyên Pham, Xiang Yu. Optimal consumption with reference to past spending maximum. Finance and Stochastics, 2022, 26 (2), pp.217-266. ⟨10.1007/s00780-022-00475-w⟩. ⟨hal-03670776⟩

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