Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption.

Oleksii Mostovyi

Published in: Finance Stochastics (2015)

Keyphrases

sufficient conditions
efficiently computable
exponential stability
fixed point
linear systems
optimal solution
asymptotic stability
asymptotic optimality
linear complementarity problem
lyapunov function
genetic algorithm
decision making
objective function
lower bound
semidefinite