Optimal consumption-investment with critical wealth level

被引：0

作者：

Choi, Sungsub ^{[1
]}

Kim, Sungjun ^{[1
]}

Shim, Gyoocheol ^{[2
]}

机构：

[1] Pohang Univ Sci & Technol, Dept Math, Pohang 790784, South Korea

[2] Ajou Univ, Dept Financial Engn, Suwon 443749, South Korea

来源：

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2016年 / 443卷 / 02期

关键词：

Consumption; Investment; Critical wealth; Dynamic programming method; Nonnegative insurance premium constraint; SELECTION; LIFETIME;

D O I：

10.1016/j.jmaa.2016.04.072

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We consider a consumption-investment problem in which the relevant economic conditions change, depending on whether the wealth exceeds a critical level or not. We propose a dynamic programming method to solve the problem by dividing the problem into subproblems split by wealth levels, and imposing a freeze condition at the boundaries. We then join the solutions of the subproblems so that the resulting value function is piecewise C-2. The methodology is illustrated through an application to a problem with nonnegative life insurance constraint. (C) 2016 Elsevier Inc. All rights reserved.

引用

页码：913 / 925

页数：13

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