Optimal Consumption in a Brownian Model with Absorption and Finite Time Horizon

Optimal Consumption in a Brownian Model with Absorption and Finite Time Horizon We construct ϵ -optimal strategies for the following control problem: Maximize $\mathbb {E}( \int_{(0,\tau)}e^{-\beta s}\,dC_{s}+e^{-\beta\tau}X_{\tau})$ , where X t = x + μt + σW t − C t , τ ≡inf{ t >0| X t =0}∧ T , T >0 is a fixed finite time horizon, W t is standard Brownian motion, μ , σ are constants, and C t describes accumulated consumption until time t . It is shown that ϵ -optimal strategies are given by barrier strategies with time-dependent barriers. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Optimal Consumption in a Brownian Model with Absorption and Finite Time Horizon

, Volume 67 (2) – Apr 1, 2013
45 pages

/lp/springer_journal/optimal-consumption-in-a-brownian-model-with-absorption-and-finite-Xviamhucfs
Publisher
Springer-Verlag
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-012-9185-x
Publisher site
See Article on Publisher Site

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