A Consumption and Investment Problem via a Markov Decision Processes Approach with Random Horizon

<div>Evolution of optimal consumptions and wealth processes with <span class="nowrap"><svg height="12.4685pt" id="M176" style="vertical-align:-3.29108pt" version="1.1" viewbox="-0.0498162 -9.17742 52.252 12.4685" width="52.252pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M536 404C536 423 520 448 491 448C445 448 398 404 308 283L286 338C255 416 242 448 217 448C182 448 138 402 92 341L111 321C149 368 169 378 178 378C188 378 198 363 214 320L254 212C185 117 138 65 107 65C98 65 85 69 82 75C79 82 73 86 65 86C44 86 23 60 23 39C23 7 44 -12 71 -12C119 -12 168 33 265 177L306 61C321 17 347 -12 373 -12C413 -12 465 33 507 96L491 119C459 84 432 60 413 60C395 60 378 92 358 148L321 250C341 279 369 310 389 332C417 363 439 382 456 382C466 382 475 376 481 368C486 361 492 358 496 358C513 358 536 381 536 404Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,7.202,3.132)"><path d="M245 635C92 635 37 457 37 312C37 149 91 -12 244 -12C395 -12 449 166 449 312C449 469 395 635 245 635ZM243 598C332 598 358 454 358 312C358 173 334 26 245 26C158 26 128 174 128 313S152 598 243 598Z"></path></g><g transform="matrix(.013,0,0,-0.013,15.78,0)"><path d="M535 323V373H52V323H535ZM535 138V188H52V138H535Z"></path></g><g transform="matrix(.013,0,0,-0.013,27.043,0)"><path d="M263 363V584C343 572 363 521 380 464L408 470C399 526 392 562 387 596C376 598 367 601 353 604C328 612 296 617 263 617V693H228V615C122 603 67 532 67 453C67 376 123 329 193 300L228 284V41C132 52 93 131 75 189L45 181C54 130 66 71 73 50C113 24 170 9 228 9V-76H263V11C370 24 434 90 434 185C434 275 367 325 292 352L263 363ZM228 376C171 398 136 431 136 484C136 530 164 578 228 584V376ZM263 272L275 267C345 236 359 196 359 150C359 96 325 50 263 42V272Z"></path></g><g transform="matrix(.013,0,0,-0.013,33.307,0)"><path d="M384 0V27C293 34 287 42 287 114V635C232 613 172 594 109 583V559L157 557C201 555 205 550 205 499V114C205 42 199 34 109 27V0H384Z"></path></g><g transform="matrix(.013,0,0,-0.013,39.547,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z"></path></g><g transform="matrix(.013,0,0,-0.013,45.787,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z"></path></g></svg>.</span></div>

Advances in Operations Research

tab2

Table 2

Table 2: A Consumption and Investment Problem via a Markov Decision Processes Approach with Random Horizon 