A stochastic control model of investment, production, and consumption on a finite horizon

DOI10.1002/MMA.3129MaRDI QIDQ5246792zbMATH OpenOpenAlexFDO

Authors Xiaoru Han, Fahuai Yi

Publication date 22 April 2015

Published in Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/mma.3129

zbMATH Keywords

dynamic programming principleHamilton-Jacobi-Bellman equationLeray-Schauder fixed-point theoremoptimal investment policiesPDE techniquestochastic control

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

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Cites work

• A solution approach to valuation with unhedgeable risks
• A stochastic control model of investment, production and consumption
• An Application of Stochastic Control Theory to Financial Economics
• An optimal consumption model with stochastic volatility
• CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS
• Elliptic Partial Differential Equations of Second Order
• Finite horizon optimal investment and consumption with transaction costs
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
• Optimal investment, consumption and retirement decision with disutility and borrowing constraints
• Portfolio optimization models on infinite-time horizon

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