Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs

Nikolaos Englezos, Ioannis Karatzas. Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs. SIAM J. Control and Optimization, 48(2):481-520, 2009. [doi]

Authors

Nikolaos Englezos

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Ioannis Karatzas

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