A Consumption–Investment Problem with Production Possibilities

DOI10.1007/978-3-540-30788-4_16MaRDI QIDQ5493552zbMATH OpenOpenAlexFDO

Authors Masaaki Kijima, Yuri Kabanov

Publication date 23 October 2006

Published in From Stochastic Calculus to Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-30788-4_16

zbMATH Keywords

martingaleportfoliobackward stochastic differential equationPontryagin maximum principleproductionconsumption-investment problemstochastic equationturnpikeBismut stochastic maximum principle

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Economic growth models (91B62) Stochastic models in economics (91B70)

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