English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

In this paper, we study expected utility maximization under ratchet anddrawdown constraints on consumption in a general incomplete semimartingalemarket using duality methods. The optimization is considered with respect totwo parameters: the initial wealth and the essential lower bound on consumptionprocess. In order to state the problem and define the primal domains, weintroduce a natural extension of the notion of running maximum to arbitrarynon-negative optional processes and study its properties. The dual domains foroptimization are characterized in terms of solidity with respect to an orderingthat is introduced on the set of non-negative optional processes. The abstractduality result we obtain for the optimization problem is used in order toderive a more detailed characterization of solutions in the complete marketcase.

Utility maximization with ratchet and drawdown constraints on consumption in incomplete semimartingale markets