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An Optimal Consumption-Investment Problem for Factor-Dependent Models

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Stochastic Theory and Control

Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 280))

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Abstract

An extension of the classical Merton model with consumption is considered when the diffusion coefficient of the asset prices depends on some economic factor. The objective is to maximize total expected discounted HARA utility of consumption. Optimal controls are provided as well as a characterization of the value function in terms of the associated Hamilton-Jacobi-Bellman equation.

Partially supported by Conacyt under grant 37643-E

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Author information

Authors and Affiliations

  1. Division of Applied Mathematics, Brown University, Providence, RI, 02912, USA

    Wendell H. Fleming

  2. Centro de Investigación en Matemáticas, Apartado Postal 402, Guanajuato, Gto., 36000, México

    Daniel Hernández-Hernández

Authors
  1. Wendell H. Fleming
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  2. Daniel Hernández-Hernández
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Editor information

Editors and Affiliations

  1. Dep. of Mathematics, University of Kansas, 405 Snow Hall, Lawrence, KS, 66045, USA

    Bozenna Pasik-Duncan

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© 2002 Springer-Verlag Berlin Heidelberg

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Fleming, W.H., Hernández-Hernández, D. (2002). An Optimal Consumption-Investment Problem for Factor-Dependent Models. In: Pasik-Duncan, B. (eds) Stochastic Theory and Control. Lecture Notes in Control and Information Sciences, vol 280. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-48022-6_9

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  • DOI: https://doi.org/10.1007/3-540-48022-6_9

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-43777-2

  • Online ISBN: 978-3-540-48022-8

  • eBook Packages: Springer Book Archive

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