论文信息 - A stochastic control model of investment, production and consumption

A stochastic control model of investment, production and consumption

We consider a stochastic control model in which an economic unit has productive capital and also liabilities in the form of debt. The worth of capital changes over time through investment as well as through random Brownian fluctuations in the unit price of capital. Income from production is also subject to random Brownian fluctuations. The goal is to choose investment and consumption controls which maximize total expected discounted HARA utility of consumption. Optimal control policies are found using the method of dynamic programming. In case of logarithmic utility, these policies have explicit forms.

Wendell H. Fleming | Tao Pang | W. Fleming | Tao Pang

[1] W. Fleming,et al. Risk‐Sensitive Control and an Optimal Investment Model , 2000 .

[2] W. Fleming,et al. Stochastic Optimal Control, International Finance and Debt , 2002, SSRN Electronic Journal.

[3] Tao Pang,et al. An Application of Stochastic Control Theory to Financial Economics , 2004, SIAM J. Control. Optim..

[4] W. Fleming,et al. Stochastic Intertemporal Optimization in Discrete Time , 2000, SSRN Electronic Journal.

[5] W. Fleming,et al. Optimal long term growth rate of expected utility of wealth , 1999 .

[6] Tao Pang. Portfolio Optimization Models on Infinite-Time Horizon , 2004 .

[7] Wendell H. Fleming. Optimal investment models and risk sensitive stochastic control , 1995 .

[8] W. Fleming,et al. Controlled Markov processes and viscosity solutions , 1992 .

[9] G. Papanicolaou,et al. Derivatives in Financial Markets with Stochastic Volatility , 2000 .

[10] Thaleia Zariphopoulou,et al. A solution approach to valuation with unhedgeable risks , 2001, Finance Stochastics.

[11] S. Pliska,et al. Risk-Sensitive Dynamic Asset Management , 1999 .

[12] R. Ramachandran,et al. Economic theory, dynamics and markets : essays in honor of Ryuzo Sato , 2001 .

[13] Daniel Hernández-Hernández,et al. An optimal consumption model with stochastic volatility , 2003, Finance Stochastics.

[14] E. Platen,et al. Principles for modelling financial markets , 1996, Journal of Applied Probability.