Mathematical Sciences: Mathematical Models of Investment-Consumption

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The principal investigator intends to combine probabilistic and analytic methods, related to the theory of partial differential equations, to study several stochastic control problems, which arise from portfolio management models with /or without transaction fees. These include investment-consumption models, trading and forecasting models, recursive utility function models et cetera. Such problems have already attracted considerable attention by both financial economists and mathematicians. The principal investigator plans to spend extensive periods of time visiting several institutions to interact with economists and mathematicians. She also plans to attend several meetings related to her work.