Abstract
This paper studies the continuous time utility maximization problem on consumption with addictive habit formation in incomplete semimartingale markets. Introducing the set of auxiliary state processes and the modified dual space, we embed our original problem into a time-separable utility maximization problem with a shadow random endowment on the product space
Citation
Xiang Yu. "Utility maximization with addictive consumption habit formation in incomplete semimartingale markets." Ann. Appl. Probab. 25 (3) 1383 - 1419, June 2015. https://doi.org/10.1214/14-AAP1026
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