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arXiv · 2611.00900

Consumption and Investment with Multiple Job-Switching Opportunities

Gugyum Ha·Junkee Jeon
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Abstract

We study finite-horizon optimal switching with affine rewards in a consumption-investment model with finitely many occupational regimes. Directed shortest-path costs yield the exact natural borrowing limit. A dual transformation reduces the control problem to a one-dimensional system of variational inequalities with interconnected obstacles. Convexity and a distributional waiting inequality give local spatial $C^{1,1}$ regularity and smooth fit, including destination ties. These estimates establish strong duality and recover optimal consumption, investment, and switching strategies. A reflected backward stochastic differential equation representation yields a set-based integral formula without prescribed boundary geometry. Every connected component of the spatially regular locus is a maximal smooth graph over time. Exact examples exhibit disconnected contact sets, temporal boundaries under strict triangle costs, and a corner in an individual boundary component under additive route costs. A convergent time discretisation completes the analysis.

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Gugyum Ha, Junkee Jeon. 2026-10-31. Consumption and Investment with Multiple Job-Switching Opportunities. https://arxiv.org/abs/2611.00900

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