Mathematical Sciences: Mathematical Models of Investment-Consumption

数学科学：投资-消费的数学模型

• 批准号: 9009310
• 负责人: Thaleia Zariphopoulou
• 金额: $ 1.7万
• 依托单位: Worcester Polytechnic Institute
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 1990
• 资助国家: 美国
• 起止时间: 1990-07-01 至 1991-12-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9009310&HistoricalAwards=false
• 关键词: Mathematical; Sciences; Models; Investment; Consumption

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.

主要研究人员打算结合概率和分析方法，与偏微分方程理论相关，来研究几个随机控制问题，这些问题是由有或没有交易费用的投资组合管理模型引起的。这些模型包括投资消费模型、交易和预测模型、递归效用函数模型等。这样的问题已经引起了金融经济学家和数学家的相当大的关注。首席研究员计划花大量时间访问几个机构，与经济学家和数学家互动。她还计划参加几个与她的工作相关的会议。