Numerical methods for an optimal investment-consumption model

Numerical methods for an optimal investment-consumption model

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Article ID: iaor1992992
Country: United States
Volume: 16
Issue: 4
Start Page Number: 823
End Page Number: 841
Publication Date: Nov 1991
Journal: Mathematics of Operations Research
Authors: ,
Keywords: control processes, investment
Abstract:

This paper examines some numerical techniques for an investment/consumption problem considered by Fleming and Zariphopoulou. The value function v(x) satisfies the differential equation of dynamic programming for x>0. Special monotonicity and concavity features of the problem allow us to prove convergence not only of discrete approximations to v(x), but of the corresponding discrete approximations to optimal investment and consumption policies.

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