 Consumption–investment optimization with Epstein–Zin utility in unbounded non-Markovian marketsZixin Feng, Dejian Tian and Harry Zheng Stochastic Processes and their Applications, 2026, vol. 192, issue C Abstract: The paper investigates the consumption–investment problem for an investor with Epstein–Zin utility in an incomplete market. A non-Markovian environment with unbounded parameters is considered, which is more realistic in practical financial scenarios compared to the Markovian setting. The optimal consumption and investment strategies are derived using the martingale optimal principle and quadratic backward stochastic differential equations (BSDEs) whose solutions admit some exponential moment. This integrability property plays a crucial role in establishing a key martingale argument. In addition, the paper also examines the associated dual problem and several models within the specified parameter framework. Keywords: Epstein–Zin utility; Consumption–investment problem; non-Markovian model; Quadratic BSDE; Exponential moment (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:192:y:2026:i:c:s0304414925002492 Ordering information: This journal article can be ordered from DOI: 10.1016/j.spa.2025.104805 Access Statistics for this article Stochastic Processes and their Applications is currently edited by T. Mikosch More articles in Stochastic Processes and their Applications from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.