Optimal Consumption–Investment with Constraints in a Regime Switching Market with Random Coefficients - Hu, Ying; Shi, Xiaomin; Xu, Zuo Quan (Applied mathematics & optimization, 2025)
Keywords: Applied mathematics; Calculus of Variations and Optimal Control; Optimization; Constraints; Consumption; Control; Differential equations; Interest rates; Investment strategy; Investments; Logarithms; Markov analysis; Mathematical and Computational Physics; Mathematical Methods in Physics; Mathematics; Mathematics and Statistics; Numerical and Computational Physics; Optimization; Optimization and Control; Partial differential equations; Simulation; Systems Theory; Theoretical; Upper bounds; Utilities; Optimal consumption–investment; 93E20; 60H30; 91G10; 91B16; Regime switching; Multi-dimensional quadratic backward stochastic differential equation; Random coefficients