Font Size: a A A

Stochastic Maximum Principle For Optimal Investment Consumption Problem With Jump Diffusions

Posted on:2013-10-31Degree:MasterType:Thesis
Country:ChinaCandidate:Y DingFull Text:PDF
GTID:2249330371487457Subject:Applied Mathematics
Abstract/Summary:
As to the continuous time portfolios model,a question on optimal investment and consumption which is affected by inflation is researched under the assumption that securities processes are jump-diffusion processes. The optimal investment strategies are achieved by using the stochastic maximum principle. The optimal strategies are expressed directly in terms of wealth process and hence can be easily applied in practice.
Keywords/Search Tags:Stochastic maximum principle, investment-consumption strategy, utility function, jump-diffusion process
Related items