3Karatzas I, Lehoczky J P and Shreve S E. Optimal portfolio and consumption decisions for a "small investor" on a finite horizon. SIAM Journal on Control and Optimization, 1987, 25(6): 1557-1586.
4Sethi S P. Optimal Consumption and Investment with Bankruptcy. Kluwer, Boston, 1997.
5Shirakawa H. Optimal consumption and portfolio selection with incomplete markets and upper and lower bound constaints. Mathematical Finance, 1994, 4(1): 1-24.
6Shirakawa H and Kassai H. Optimal consumption and arbitrage in incomplete, finite state security markets. Journal of Operations Research, 1993, 45: 349-372.
7Shreve S E, Soner H M and Xu G L. Optimal investment and consumption with two bounds and transaction costs. Mathematical Finance, 1991, 1(3): 53-84.
8Merton R C. Optimum consumption and portfolio rules in a continuous-time model. Journal of Economic Theory, 1971, 3: 373-413.
9Rockafellar R T. Convex Analysis. Princeton: Princeton University Press, 1970.
10Duffle D. Dynamic Asset Pricing Theory, 2nd ed. New Jersey: Princeton University Press, 1996.
