A Consumption–Investment Problem with Production Possibilities

DOI10.1007/978-3-540-30788-4_16zbMATH Open1251.60056OpenAlexW210105214MaRDI QIDQ5493552FDOQ5493552

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

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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)

Cited In (7)

• Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns
• A consumption-investment problem with constraints on minimum and maximum consumption rates
• Consumption/investment problem when the investment opportunity set can be enlarged by information gathering
• Title not available (Why is that?)
• An application of dynamic programming principle in corporate international optimal investment and consumption choice problem
• Title not available (Why is that?)
• NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS

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