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math.OC2026
Variational inequalities and smooth-fit principle for singular stochastic control problems in Hilbert spaces
Salvatore Federico, Giorgio Ferrari, Frank Riedel +1
We consider a class of infinite-dimensional singular stochastic control problems. These can be thought of as spatial monotone follower problems and find applications in spatial mod…
math.OC2024
Optimal Consumption for Recursive Preferences with Local Substitution under Risk
Hanwu Li, Frank Riedel
We explore intertemporal preferences that are recursive and account for local intertemporal substitution. First, we establish a rigorous foundation for these preferences and analyz…
math.OC2024
Optimal consumption and investment under relative performance criteria with Epstein-Zin utility
Jodi Dianetti, Frank Riedel, Lorenzo Stanca
We consider the strategic interaction of traders in a continuous-time financial market with Epstein-Zin-type recursive intertemporal preferences and performance concerns. We derive…