Maximum principle for a stochastic optimal control problem and application to portfolio/consumption choice

被引：5

作者：

Xu, WS ^{[1
]}

机构：

[1] Zhejiang Univ, Dept Appl Math, Hangzhou 310027, Peoples R China

来源：

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 1998年 / 98卷 / 03期

基金：

中国国家自然科学基金;

关键词：

stochastic optimal control; variational methods; stochastic maximum principle; portfolio and consumption choices; financial markets;

D O I：

10.1023/A:1022636332265

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

We consider mainly an optimal control problem motivated by a portfolio and consumption choice problem in a financial market where the utility of the investor is assumed to have a given homogeneous form. A Pontryagin local maximum principle is obtained by using classical variational methods. We apply the result to make optimal portfolio and consumption decisions for the problem under consideration. The optimal selection coincides with the one obtained in Refs. 1 and 2, where the Bellman dynamic programming principle was used.

引用

页码：719 / 731

页数：13

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