Received: 1 November 2020   Accepted: 28 May 2021
DOI: 10.1111/mafi.12322

ORIGINAL ARTICLE


Duality for optimal consumption with
randomly terminating income
Ashley Davey1,*          Michael Monoyios2             Harry Zheng1
1Department of Mathematics, Imperial
College London, London, UK              Abstract
2Mathematical Institute, University of        We establish a rigorous duality theory, under No
Oxford, Radcliffe Observatory Quarter,        Unbounded Profit with Bounded Risk, for an inf ...