MAXIMUM PRINCIPLE FOR A STOCHASTIC OPTIMAL-CONTROL PROBLEM AND APPLICATION TO PORTFOLIO CONSUMPTION CHOICE/

Authors
XU WS
Citation
Ws. Xu, MAXIMUM PRINCIPLE FOR A STOCHASTIC OPTIMAL-CONTROL PROBLEM AND APPLICATION TO PORTFOLIO CONSUMPTION CHOICE/, Journal of optimization theory and applications, 98(3), 1998, pp. 719-731
Citations number
8
Categorie Soggetti
Operatione Research & Management Science",Mathematics,"Operatione Research & Management Science
Journal title
Journal of optimization theory and applications → ACNP
ISSN journal
00223239
Volume
98
Issue
3
Year of publication
1998
Pages
719 - 731
Database
ISI
SICI code
0022-3239(1998)98:3<719:MPFASO>2.0.ZU;2-1
Abstract
We consider mainly an optimal control problem motivated by a portfolio and consumption choice problem in a financial market where the utilit y of the investor is assumed to have a given homogeneous form. A Pontr yagin local maximum principle is obtained by using classical variation al methods. We apply the result to make optimal portfolio and consumpt ion decisions for the problem under consideration. The optimal selecti on coincides with the one obtained in Refs. 1 and 2, where the Bellman dynamic programming principle was used.