Robust Consumption-Investment Problem on Infinite Horizon

Journal Article · Tue Dec 15 00:00:00 EST 2015 · Applied Mathematics and Optimization

DOI:https://doi.org/10.1007/S00245-014-9287-8· OSTI ID:22469709

Zawisza, Dariusz ^[1]

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1. Jagiellonian University in Krakow, Institute of Mathematics, Faculty of Mathematics and Computer Science (Poland)

In our paper we consider an infinite horizon consumption-investment problem under a model misspecification in a general stochastic factor model. We formulate the problem as a stochastic game and finally characterize the saddle point and the value function of that game using an ODE of semilinear type, for which we provide a proof of an existence and uniqueness theorem for its solution. Such equation is interested on its own right, since it generalizes many other equations arising in various infinite horizon optimization problems.

• OSTI ID: 22469709
• Journal Information: Applied Mathematics and Optimization, Vol. 72, Issue 3; Other Information: Copyright (c) 2015 Springer Science+Business Media New York; Article Copyright (c) 2015 The Author(s); http://www.springer-ny.com; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
• Country of Publication: United States
• Language: English

Related Subjects

71 CLASSICAL AND QUANTUM MECHANICS
GENERAL PHYSICS
DIFFERENTIAL EQUATIONS
FUNCTIONS
MATHEMATICAL MODELS
MATHEMATICAL SOLUTIONS
OPTIMIZATION
STOCHASTIC PROCESSES