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]
@article{EnglezosK09,
title = {Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs},
author = {Nikolaos Englezos and Ioannis Karatzas},
year = {2009},
doi = {10.1137/070686998},
url = {http://dx.doi.org/10.1137/070686998},
tags = {programming},
researchr = {https://researchr.org/publication/EnglezosK09},
cites = {0},
citedby = {0},
journal = {SIAM J. Control and Optimization},
volume = {48},
number = {2},
pages = {481-520},
}