Optimal Consumption under Uncertainties: Random Horizon Stochastic Dynamic Roy’s Identity and Slutsky Equation
نویسندگان
چکیده
منابع مشابه
Optimal production strategy of bimetallic deposits under technical and economic uncertainties using stochastic chance-constrained programming
In order to catch up with reality, all the macro-decisions related to long-term mining production planning must be made simultaneously and under uncertain conditions of determinant parameters. By taking advantage of the chance-constrained programming, this paper presents a stochastic model to create an optimal strategy for producing bimetallic deposit open-pit mines under certain and uncertain ...
متن کاملOptimal Relief Order Quantity under Stochastic Demand and Lead-time
In this paper, a newsboy model is developed under uniformly distributed lead-time and demand that is an appropriate assumption in obtaining optimal relief inventory of humanitarian disasters. It is noteworthy that limited historical data are in hand on relief operations. Hence, analytical and approximate solutions for optimal relief order quantity were derived. The effect of lead-time uncertai...
متن کاملInfinite Horizon and Ergodic Optimal Quadratic Control for an Affine Equation with Stochastic Coefficients
We study quadratic optimal stochastic control problems with control dependent noise state equation perturbed by an affine term and with stochastic coefficients. Both infinite horizon case and ergodic case are treated. To this purpose we introduce a Backward Stochastic Riccati Equation and a dual backward stochastic equation, both considered in the whole time line. Besides some stabilizability c...
متن کاملLQG optimal control of discrete stochastic systems under parametric and noise uncertainties
In this paper, the linear-quadratic-Gaussian (LQG) optimal control problem is considered and a robust minimax controller composed of the Kalman filter and the optimal regulator is synthesized to guarantee the asymptotic stability of the discrete time-delay systems under both parametric uncertainties and uncertain noise covariances. Designed procedures are finally elaborated with an illustrative...
متن کاملFinite Horizon Optimal Investment and Consumption with Transaction Costs
This paper concerns continuous-time optimal investment and consumption decision of a CRRA investor who faces proportional transaction costs and finite time horizon. In the no consumption case, it has been studied by Liu and Loewenstein (2002) and Dai and Yi (2006). Mathematically, it is a singular stochastic control problem whose value function satisfies a parabolic variational inequality with ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Applied Mathematics
سال: 2014
ISSN: 2152-7385,2152-7393
DOI: 10.4236/am.2014.52028