Optimal consumption-investment with critical wealth level
SCIE
SCOPUS
- Title
- Optimal consumption-investment with critical wealth level
- Authors
- Choi, Sungsub; Kim, Sungjun; Shim, Gyoocheol
- Date Issued
- 2016-11
- Publisher
- Academic Press
- Abstract
- We consider a consumption-investment problem in which the relevant economic conditions change, depending on whether the wealth exceeds a critical level or not. We propose a dynamic programming method to solve the problem by dividing the problem into subproblems split by wealth levels, and imposing a freeze condition at the boundaries. We then join the solutions of the subproblems so that the resulting value function is piecewise C-2. The methodology is illustrated through an application to a problem with nonnegative life insurance constraint. (C) 2016 Elsevier Inc. All rights reserved.
- URI
- https://oasis.postech.ac.kr/handle/2014.oak/98735
- DOI
- 10.1016/j.jmaa.2016.04.072
- ISSN
- 0022-247X
- Article Type
- Article
- Citation
- Journal of Mathematical Analysis and Applications, vol. 443, no. 2, page. 913 - 925, 2016-11
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