Robust Consumption-Investment Problem on Infinite Horizon

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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Robust Consumption-Investment Problem on Infinite Horizon

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Publisher
Springer US
Copyright
Copyright © 2015 by Springer Science+Business Media New York
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/s00245-014-9287-8
Publisher site
See Article on Publisher Site

References

  • The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices
    Faria, G; Correia-da-Silva, J

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