H–J–B Equations of Optimal Consumption-Investment and Verification Theorems

被引：0
|
作者：
Hideo Nagai
机构：
[1] Kansai University,Department of Mathematics, Faculty of Engineering Science
来源：
Applied Mathematics & Optimization | 2015年 / 71卷
关键词：
Utility maximization; Risk-sensitive stochastic control; Factor models; H–J–B equation; Infinite time horizon; 35J60; 49L20; 60F10; 91B28; 93E20;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We consider a consumption-investment problem on infinite time horizon maximizing discounted expected HARA utility for a general incomplete market model. Based on dynamic programming approach we derive the relevant H–J–B equation and study the existence and uniqueness of the solution to the nonlinear partial differential equation. By using the smooth solution we construct the optimal consumption rate and portfolio strategy and then prove the verification theorems under certain general settings.
引用
收藏
页码：279 / 311
页数：32
相关论文
共 24 条
123