Optimal Consumption From Investment and Labor Income in a Unifying Framework of Admissibility
Host
Department of Applied Mathematics
Speaker
Oleksii Mostovyi
Department of Mathematics, University of Connecticut
https://www2.math.uconn.edu/~mostovyi/
Description
We consider a problem of optimal consumption from investment and labor income in an incomplete semimartingale market. We introduce a set of constraint times, i.e., a set of stopping times, at which the wealth process must stay positive, in a unifying way such that borrowing against the future income might be allowed or prohibited. Upon this, we increase dimensionality and treat as arguments of the value function not only the initial wealth but also a function that specifies the amount of labor income. Assuming finiteness of the primal and dual value functions and that the labor income is superreplicable (these are essentially the minimal model assumptions), we establish the existence and uniqueness of a solution to the underlying problem and provide several characterizations of the optimizer and the value functions. This talk is based on the joint work with Mihai Sirbu.
Event Topic
Mathematical Finance, Stochastic Analysis, and Machine Learning