MR2177117 Koike, Shigeaki and Morimoto, Hiroaki Shigeaki KOIKE and Hiroaki MORIMOTO Optimal Consumption and Portfolio Choice with Stopping Funkcialaj Ekvacioj. Serio Internacia 48 2005 183--202 http://fe.math.kobe-u.ac.jp/FE/FullPapers/48-2/48_183.pdf http://www.ams.org/mathscinet-getitem?mr=MR2177117 We study the Bellman equation associated with the optimal consumption and portfolio choice problem with stopping times in a complete market. We establish the existence of a strong solution by using the viscosity solutions technique. The optimal policy is shown to exist from the optimality conditions in the variational inequality. Variational inequality, Viscosity solution, Combined control, Consumption, Portfolio, Stopping time. 35J60, 35J70, 35J85, 49L25, 60G40, 90C39, 93E20. 48-183 2005 Optimal Consumption and Portfolio Choice with Stopping KOIKE, Shigeaki and MORIMOTO, Hiroaki Shigeaki KOIKE and Hiroaki MORIMOTO 1 Bensoussan, A.; Lions, J. L. Applications des Inequations Variationnelles en Contrôle Stochastique Paris, Dunod 1978 MR0513618
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