An application of stochastic control theory to financial economics

We consider a portfolio optimization problem which is formulated as a stochastic control problem. Risky asset prices obey a logarithmic Brownian motion, and interest rates vary according to an ergodic Markov diffusion process. The goal is to choose optimal investment and consumption policies to maxi...

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Veröffentlicht in:	SIAM journal on control and optimization 2004-01, Vol.43 (2), p.502-531
Hauptverfasser:	FLEMING, Wendell H, PANG, Tao
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied mathematics Applied sciences Brownian motion Computer science control theory systems Control theory. Systems Dynamic programming Exact sciences and technology Interest rates Investments Mathematical programming Operational research and scientific management Operational research. Management science Optimization Portfolio theory Stochastic control theory Utility functions
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