We study utility maximization for power utility random fields with and without intermediate consumption in a general semimartingale model with closed portfolio constraints. We show that any optimal ...

The Bellman Equation follows director Gabriel Lee Bellman's 13 years of research on his grandfather. As he beings to uncover his grandfather's storied history, Gabriel's relationship with his own ...

Without resorting to dynamic programming, we determine the decumulation strategy for the holder of a defined contribution pension plan. We formulate this as a constrained stochastic optimal control ...