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 undertake an investigation into the utility maximizationproblem faced by an economic agent who possesses the option to switch jobs,within a scenario featuring the presence of a mandatory retirement date. Theagent needs to consider not only optimal consumption and investment but alsothe decision regarding optimal job-switching. Therefore, the utilitymaximization encompasses features of both optimal switching and stochasticcontrol within a finite horizon. To address this challenge, we employ adual-martingale approach to derive the dual problem defined as a finite-horizonpure optimal switching problem. By applying a theory of the double obstacleproblem with non-standard arguments, we examine the analytical properties ofthe system of parabolic variational inequalities arising from the optimalswitching problem, including those of its two free boundaries. Based on theseanalytical properties, we establish a duality theorem and characterize theoptimal job-switching strategy in terms of time-varying wealth boundaries.Furthermore, we derive integral equation representations satisfied by theoptimal strategies and provide numerical results based on theserepresentations.

A Problem of Finite-Horizon Optimal Switching and Stochastic Control for Utility Maximization