Optimal consumption investment decisions decisions in Markovian dynamic systems

被引：0
|
作者：
Kuwana, Y [1 ]
机构：
[1] Hitotsubashi Univ, Kunitachi, Tokyo, Japan
来源：
HITOTSUBASHI JOURNAL OF ECONOMICS | 1997年 / 38卷 / 02期
关键词：
D O I：
10.15057/7734
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We investigate optimal consumption/investment decision problems in a continuous financial market where the price fluctuations of assets are assumed to follow Markov diffusions. Sufficient conditions for the verification of Hamilton-Jacobi-Bellman equation will be given.
引用
收藏
页码：149 / 166
页数：18
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