论文标题
在政权转换市场中，与随机系数的消费和投资策略的耦合限制对最佳消费投资的最佳投资
Optimal consumption-investment with coupled constraints on consumption and investment strategies in a regime switching market with random coefficients
论文作者
论文摘要
本文研究了具有随机系数的政权交换市场中有限时间的最佳消费评估问题，并在消费和投资策略上受到耦合的约束。我们为问题提供明确的最佳消费策略和最佳值，以解决某些对角二次向后的随机微分方程（BSDE）系统和具有未绑定系数的线性BSDE系统。其中一些BSDE在文献中是新的，解决它们是本文的主要理论贡献之一。我们通过应用截断，近似技术来实现后者，以使其解决方案获得一些统一的下限和上限。
This paper studies finite-time optimal consumption-investment problems with power, logarithmic and exponential utilities, in a regime switching market with random coefficients, subject to coupled constraints on the consumption and investment strategies. We provide explicit optimal consumption-investment strategies and optimal values for the problems in terms of the solutions to some diagonally quadratic backward stochastic differential equation (BSDE) systems and linear BSDE systems with unbound coefficients. Some of these BSDEs are new in the literature and solving them is one of the main theoretical contributions of this paper. We accomplish the latter by applying the truncation, approximation technique to get some a priori uniformly lower and upper bounds for their solutions.
