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math.OC2025
An extended Merton problem with relaxed benchmark tracking
Lijun Bo, Yijie Huang, Xiang Yu
This paper studies Merton's problem in an extended formulation by incorporating the benchmark tracking on the wealth process. We consider a tracking formulation where the fund mana…
math.OC2024
Optimal consumption under a drawdown constraint over a finite horizon
Xiaoshan Chen, Xun Li, Fahuai Yi +1
This paper studies a finite horizon utility maximization problem on excessive consumption under a drawdown constraint. Our control problem is an extension of the one considered in…
math.OC2024
Stochastic control problems with state-reflections arising from relaxed benchmark tracking
Lijun Bo, Yijie Huang, Xiang Yu
This paper studies stochastic control problems motivated by optimal consumption with wealth benchmark tracking. The benchmark process is modeled by a combination of a geometric Bro…