An optimal investment problem with randomly terminating income

An optimal investment problem with randomly terminating income
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收入随机终止的最优投资问题

DOI：
10.1109/cdc.2009.5400455
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发表时间：
2009
期刊：
Proceedings of the 48h IEEE Conference on Decision and Control (CDC) held jointly with 2009 28th Chinese Control Conference
影响因子：
--
通讯作者：
Mark H. A. Davis
Mark H. A. Davis
中科院分区：
--
文献类型：
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作者：
M. Vellekoop;Mark H. A. Davis

文献摘要

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我们研究了一个最优消费和投资问题，在这个问题中，我们得到了一个在随机时间终止的固定收入流。事实证明，这个问题的最优策略和价值函数与我们的收入流肯定会无限期持续的情况有很大的不同。更具体地说，最优消费政策涉及的函数在代表零财富的点附近不是解析的。
We investigate an optimal consumption and investment problem where we receive a certain fixed income stream that is terminated at a random time. It turns out that the optimal strategy and the value function for this problem differ considerably from the case where our income stream is certain to continue indefinitely. More specifically, the optimal consumption policy involves a function that is not analytic around the point that represents zero wealth.