Explicit solutions to a pair of continuous time stochastic control problems
Posted on:2009-06-08
Degree:Ph.D
Type:Dissertation
University:Rutgers The State University of New Jersey - New Brunswick
Candidate:Jonsson Oduya, Lars Adam
Full Text:PDF
GTID:1440390005958330
Subject:Statistics
Abstract/Summary:
We study a pair of continuous time stochastic control problems, arising in Financial and engineering economics respectively. We first consider the optimal consumption and investment of a utility maximizing investor without an income. The optimal consumption and investment plan is derived and a new way of obtaining closed form expressions for these quantities is provided. We then consider a simple stochastic model for optimal extraction from a groundwater aquifer that has surprising features. A result concerning optimal policies that clarifies these features is proved.