{
  "id": "0807.0326",
  "version": "v1",
  "published": "2008-07-02T11:09:02.000Z",
  "updated": "2008-07-02T11:09:02.000Z",
  "title": "Optimal consumption policies in illiquid markets",
  "authors": [
    "Alessandra Cretarola",
    "Fausto Gozzi",
    "Huyên Pham",
    "Peter Tankov"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "We investigate optimal consumption policies in the liquidity risk model introduced in Pham and Tankov (2007). Our main result is to derive smoothness results for the value functions of the portfolio/consumption choice problem. As an important consequence, we can prove the existence of the optimal control (portfolio/consumption strategy) which we characterize both in feedback form in terms of the derivatives of the value functions and as the solution of a second-order ODE. Finally, numerical illustrations of the behavior of optimal consumption strategies between two trading dates are given.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2008-07-02T11:09:02.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "49K22",
      "49L25",
      "35F20",
      "91B28"
    ],
    "keywords": [
      "optimal consumption policies",
      "illiquid markets",
      "value functions",
      "liquidity risk model",
      "optimal consumption strategies"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2008arXiv0807.0326C"
    }
  }
}