NUMERICAL-METHODS FOR AN OPTIMAL INVESTMENT-CONSUMPTION MODEL

被引：23

作者：

FITZPATRICK, BG ^{[1
]}

FLEMING, WH ^{[1
]}

机构：

[1] BROWN UNIV,LEFSCHETZ CTR DYNAM SYST,DIV APPL MATH,PROVIDENCE,RI 02912

来源：

MATHEMATICS OF OPERATIONS RESEARCH | 1991年 / 16卷 / 04期

关键词：

OPTIMAL INVESTMENT CONSUMPTION; STOCHASTIC CONTROL; NUMERICAL METHODS;

D O I：

10.1287/moor.16.4.823

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：

This paper examines some numerical techniques for an investment/consumption problem considered by Fleming and Zariphopoulou. The value function v(x) satisfies the differential equation of dynamic programming for x > 0. Special monotonicity and concavity features of the problem allow us to prove convergence not only of discrete approximations to upsilon(x), but of the corresponding discrete approximations to optimal investment and consumption policies.

引用

页码：823 / 841

页数：19

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