On consumption/investment problems with long-term time-average utilities

DOI10.1080/17442500008834225zbMath0947.91041OpenAlexW2113270943MaRDI QIDQ4950735

Hiroaki Morimoto, Takashi Adachi

Publication date: 9 April 2000

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500008834225

zbMATH Keywords

Hamilton-Jacobi-Bellman equationinvestmentconsumption

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items (1)

Optimal ergodic control of Markov diffusion processes with minimum variance

Cites Work

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• Ergodic Control Of Stochastic Differential Systems With Controller Constraints
• Semilinear stochastic evolution equations: boundedness, stability and invariant measurest
• Consumption-Investment Models with Constraints
• Convex Analysis
• Invariant Measures of Ultimately Bounded Stochastic Processes

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