Seminar series
Date
Thu, 07 Feb 2013
Time
13:00 -
14:00
Location
DH 1st floor SR
Speaker
Vladimir Cherny
Organisation
Mathematics (Oxford)
We consider a problem of maximising lifetime utility of consumption subject to a drawdown constraint on undiscounted wealth
process. This problem was solved by Elie and Touzi in the case of zero interest rate. We apply methodology of Azema-Yor processes to connect
constrained and unconstrained wealth processes, which allows us to get the results for non-zero interest rate.