An introduction to optimal consumption with partial observation

MaRDI QIDQ2741114zbMATH OpenFDO

Authors David Lefèvre, Agnès Sulem, B. Øksendal

Publication date 2001

zbMATH Keywords

optimal consumption

Mathematics Subject Classification ID

Consumer behavior, demand theory (91B42) Optimal stochastic control (93E20)

Review text

This paper provides a method for solving a stochastic control problem with partial observations. The solution involves an optimal consumption problem in which the mean growth rate of the economy is characterized by the Ornstein-Uhlenbeck process where the mean is only observed partially. The paper solves the optimal consumption problem by using the Kalman-Bucy filter. For the entire collection see [Zbl 0964.00056].

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Cited in

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• Optimization of consumption with partial observation–-Jensen inequality method

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