A Consumption–Investment Problem with Production Possibilities

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

Yuri Kabanov, Masaaki Kijima

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

Recommendations

• scientific article; zbMATH DE number 2133110
• scientific article
• A stochastic control model of investment, production and consumption
• A stochastic control model of investment, production, and consumption on a finite horizon
• scientific article; zbMATH DE number 3943498

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 (6)

• 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?)
• 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

This page was built for publication: A Consumption–Investment Problem with Production Possibilities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5493552)