A degenerate elliptic equation arising in an optimization problem under partial information

• Watanabe Yûsuke

  Division of Mathematical Science for Social Systems, Graduate School of Engineering Science, Osaka University

抄録

In a financial market where risky securities are affected by hidden economic factors, we consider an optimal consumption/investment problem for the expected HARA utility of the investor's wealth on infinite time horizon. We report some results on the related Hamilton-Jacobi-Bellman equation, which is, after some transformation, a second order linear degenerate elliptic equation. Using its solution, an optimal consumption/investment strategy is specified.

収録刊行物

• Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications

  Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications 2014 (0), 71-76, 2014-05-05

  システム制御情報学会ストカスティックシステムシンポジウム

キーワード

• Materials Science (miscellaneous)

詳細情報

• CRID: 1390845712963918976
• NII論文ID: 130007377563
• DOI: 10.5687/sss.2014.71
• ISSN: 21884749
• ISSN: 21884730
• Web Site: https://www.jstage.jst.go.jp/article/sss/2014/0/2014_71/_pdf
• 本文言語コード: en
• データソース種別:
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  • Crossref
  • CiNii Articles
• 抄録ライセンスフラグ: 使用不可