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
收藏
页码：913 / 925
页数：13
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