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

<div>Execution time when the initial capital is <svg height="12.5677pt" id="M212" style="vertical-align:-0.9763002pt" version="1.1" viewbox="-0.0498162 -11.5914 43.5702 12.5677" width="43.5702pt" 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="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,-0.013,6.263,0)"><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,-0.013,15.409,0)"><path d="M528 54L331 254L528 455L492 493L294 291L96 493L60 455L257 254L60 54L96 16L294 217L492 16L528 54Z"></path></g><g transform="matrix(.013,0,0,-0.013,25.945,0)"><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,-0.013,32.185,0)"><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(.0091,0,0,-0.0091,38.472,-5.741)"><path d="M141 347C171 480 264 541 327 570C364 587 403 599 436 605L429 641C389 634 339 622 300 609C191 570 37 458 37 239C37 86 126 -12 245 -12C367 -12 454 89 454 210C454 314 380 397 272 397C252 397 230 390 208 380L141 347ZM231 338C323 338 366 257 366 174C366 108 340 27 263 27C180 27 129 123 129 244C129 268 130 292 135 310C158 323 193 338 231 338Z"></path></g></svg> with interest rate <span class="nowrap"><svg height="8.8423pt" id="M213" style="vertical-align:-0.2064009pt" version="1.1" viewbox="-0.0498162 -8.6359 40.3505 8.8423" width="40.3505pt" 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="M244 607C244 633 228 655 200 655C166 655 146 618 146 594C146 564 166 546 191 546C221 546 244 574 244 607ZM222 91L209 114C184 94 148 66 133 66C127 66 124 73 130 96L201 370C213 416 211 448 191 448C162 448 88 407 29 352L42 328C73 354 104 371 114 371C120 371 119 365 115 345L53 92C32 5 45 -12 68 -12C103 -12 186 50 222 91Z"></path></g><g transform="matrix(.013,0,0,-0.013,7.181,0)"><path d="M535 323V373H52V323H535ZM535 138V188H52V138H535Z"></path></g><g transform="matrix(.013,0,0,-0.013,18.444,0)"><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,-0.013,24.684,0)"><path d="M113 -12C146 -12 170 11 170 46C170 78 146 103 114 103S58 78 58 46C58 11 82 -12 113 -12Z"></path></g><g transform="matrix(.013,0,0,-0.013,27.648,0)"><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,-0.013,33.888,0)"><path d="M153 550H386L412 615L406 623H120L82 318C104 327 142 338 184 338C294 338 347 275 347 187C347 112 305 39 221 39C160 39 119 71 97 89C88 97 80 96 71 90C59 80 50 67 49 57C48 45 52 36 66 23C80 9 123 -12 169 -12C221 -11 288 15 342 59C403 109 431 165 431 225C431 308 366 395 238 395C212 395 165 379 127 364L153 550Z"></path></g></svg>.</span></div>

Advances in Operations Research

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Figure 8

Figure 8: A Consumption and Investment Problem via a Markov Decision Processes Approach with Random Horizon 