A consumption-investment problem with constraints on minimum and maximum consumption rates

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:338

Article

Ma, Qinghua¹  Yi, Fahuai¹  Guan, Chonghu² 

[1] Guangdong Univ Foreign Studies, Dept Appl Math, Guangzhou, Guangdong, Peoples R China

[2] Jiaying Univ, Sch Math, Meizhou 514015, Guangdong, Peoples R China

关键词: Consumption-investment problem;    Free boundaries;    Constraints on consumption rate;    Optimal strategies;   

DOI  :  10.1016/j.cam.2018.02.006

来源: Elsevier

【 摘 要 】

We develop famous Merton's financial model to more realistic and interesting situation: consumption rate has lower and upper constraints. The aim is to find optimal strategies for consumption and investment. The corresponding HJB equation is a fully nonlinear ordinary differential equation. We use stochastic analysis and differential equation technique to find optimal strategies. The regularity of the value function is obtained as well. The method and result are meaningful and interesting in both of finance and mathematics. (C) 2018 Elsevier B.V. All rights reserved.

【 授权许可】

Free