This paper solves a general continuous-time consumption and portfolio decision problem for a single agent for whom there exists, upon bankruptcy, a possibility of recovery from his bankruptcy. The main contribution of the paper is in the modeling of the recovery process. Moreover, it is shown...

The problem of optimal consumption and investment is concerned with the decisions of a single agent endowed with some initial wealth who seeks to maximize total expected discounted utility of consumption. The decisions are the rate of consumption and the allocation of their wealth directed to...

We consider a general continuous-time finite-horizon single-agent consumption and portfolio decision problem with subsistence consumption and value of bankruptcy. Our analysis allows for random market coefficients and general continuously differentiable concave utility functions. We study the...

This paper solves a general consumption and investment decision problem in closed form. An investor seeks to maximize total expected discounted utility of consumption. There are N distinct risky investments, modeled by dependent geometric Brownian motion processes, and one risk-less...

This paper surveys the research on optimal consumption and investment problem of an agent who is subject to bankruptcy that has a specified utility (reward or penalty). The bankruptcy utility, modeled by a parameter, may be the result of welfare subsidies, the agent's innnate ability to recover...

In this note we provide an explicit formula for the probability distribution function of the bankruptcy time in a general consumption/investment problem involving subsistence consumption and bankruptcy penalty

Many infinite-horizon optimal control problems in management science and economics have optimal paths that approach some stationary level. Often, this path has the property of being the nearest feasible path to the stationary equilibrium. This paper obtains a simple multiplicative...

This paper advances significantly the literature on the optimality of the base stock policy by generalizing the demand distribution and beginning with a completely general belief prior to be updated as demands are observed over time. As the value function depends on the belief, the functional...

This paper proposes a new methodology to solve partially observed inventory problems. Generally, these problems have infinitedimensional states that are conditional distribution of the inventory level. Our methodology involves linearizing the state transitions via unnormalized probabilities. It...

This paper analyzes the tradeoff between (demand) substitution costs and (production) changeover costs in a discrete-time production-inventory setting using a two-product dynamic lot-sizing model with changeover, inventory carrying, and substitution costs. We first show that the problem is...