skip to main content

SciTech ConnectSciTech Connect

Title: H–J–B Equations of Optimal Consumption-Investment and Verification Theorems

We consider a consumption-investment problem on infinite time horizon maximizing discounted expected HARA utility for a general incomplete market model. Based on dynamic programming approach we derive the relevant H–J–B equation and study the existence and uniqueness of the solution to the nonlinear partial differential equation. By using the smooth solution we construct the optimal consumption rate and portfolio strategy and then prove the verification theorems under certain general settings.
Authors:
 [1]
  1. Kansai University, Department of Mathematics, Faculty of Engineering Science (Japan)
Publication Date:
OSTI Identifier:
22469995
Resource Type:
Journal Article
Resource Relation:
Journal Name: Applied Mathematics and Optimization; Journal Volume: 71; Journal Issue: 2; Other Information: Copyright (c) 2015 Springer Science+Business Media New York; 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; CONSUMPTION RATES; DYNAMIC PROGRAMMING; MATHEMATICAL SOLUTIONS; NONLINEAR PROBLEMS; PARTIAL DIFFERENTIAL EQUATIONS; VERIFICATION