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Title: Robust Consumption-Investment Problem on Infinite Horizon

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.
Authors:
 [1]
  1. Jagiellonian University in Krakow, Institute of Mathematics, Faculty of Mathematics and Computer Science (Poland)
Publication Date:
OSTI Identifier:
22469709
Resource Type:
Journal Article
Resource Relation:
Journal Name: Applied Mathematics and Optimization; Journal Volume: 72; Journal 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)
Country of Publication:
United States
Language:
English
Subject:
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; DIFFERENTIAL EQUATIONS; FUNCTIONS; MATHEMATICAL MODELS; MATHEMATICAL SOLUTIONS; OPTIMIZATION; STOCHASTIC PROCESSES