OPTIMAL CONSUMPTION INVESTMENT DECISIONS DECISIONS IN MARKOVIAN DYNAMIC-SYSTEMS

Authors
KUWANA Y
Citation
Y. Kuwana, OPTIMAL CONSUMPTION INVESTMENT DECISIONS DECISIONS IN MARKOVIAN DYNAMIC-SYSTEMS, Hitotsubashi journal of economics, 38(2), 1997, pp. 149-166
Citations number
10
Journal title
Hitotsubashi journal of economics → ACNP
ISSN journal
0018280X
Volume
38
Issue
2
Year of publication
1997
Pages
149 - 166
Database
ISI
SICI code
0018-280X(1997)38:2<149:OCIDDI>2.0.ZU;2-6
Abstract
We investigate optimal consumption/investment decision problems in a c ontinuous financial market where the price fluctuations of assets are assumed to follow Markov diffusions. Sufficient conditions for the ver ification of Hamilton-Jacobi-Bellman equation will be given.