@Article{NMTMA-15-641,
author = {Ma , JingtangXing , Jie and Yang , Shan},
title = {Dual Control Methods for a Mixed Control Problem with Optimal Stopping Arising in Optimal Consumption and Investment},
journal = {Numerical Mathematics: Theory, Methods and Applications},
year = {2022},
volume = {15},
number = {3},
pages = {641--661},
abstract = {<p style="text-align: justify;">This paper studies a problem of optimal investment and consumption
with early retirement option under constant elasticity variation (CEV) model with
finite horizon. Two risky assets are involved in the model with one following geometric Brownian motion and the other a CEV model. This problem is a kind of two
dimensional mixed control and optimal stopping problems with finite horizon. The
existence and continuity of the optimal retirement threshold surfaces are proved and
the working and retirement regions are characterized theoretically. Least-squares
Monte-Carlo methods are developed to solve this mixed control and optimal stopping problem. The algorithms are well implemented and the optimal retirement
threshold surfaces, optimal investment strategies and the optimal consumptions are
drawn via examples.</p>},
issn = {2079-7338},
doi = {https://doi.org/10.4208/nmtma.OA-2022-0001},
url = {http://global-sci.org/intro/article_detail/nmtma/20810.html}
}