2 papers
math.OC2026
Consumption and Investment in Incomplete Markets with Epstein-Zin Preferences in Infinite Horizon
Ho Man Tai
We solve the optimal consumption-investment problem in incomplete markets, where the investor aims to maximise an Epstein-Zin type stochastic differential utility from consumption…
math.OC2025
Viscosity Solutions of Fully second-order HJB Equations in the Wasserstein Space
Erhan Bayraktar, Hang Cheung, Ibrahim Ekren +3
In this paper, we show that the value functions of mean field control problems with common noise are the unique viscosity solutions to fully second-order Hamilton-Jacobi-Bellman eq…