Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs.
Nikolaos EnglezosIoannis KaratzasPublished in: SIAM J. Control. Optim. (2009)
Keyphrases
- utility maximization
- dynamic programming
- sample path
- utility function
- single period
- partial differential equations
- stochastic gradient
- markov chain
- state space
- linear programming
- level set
- multistage
- inventory models
- asymptotic analysis
- optimal control
- lagrangian relaxation
- stochastic programming
- state dependent
- markov decision processes
- reinforcement learning