Open Access. Powered by Scholars. Published by Universities.®
Physical Sciences and Mathematics Commons™
Open Access. Powered by Scholars. Published by Universities.®
- Discipline
Articles 1 - 2 of 2
Full-Text Articles in Physical Sciences and Mathematics
On An Investment-Consumption Model With Transaction Costs, Marianne Akian, José Luis Menaldi, Agnès Sulem
On An Investment-Consumption Model With Transaction Costs, Marianne Akian, José Luis Menaldi, Agnès Sulem
Mathematics Faculty Research Publications
This paper considers the optimal consumption and investment policy for an investor who has available one bank account paying a fixed interest rate and n risky assets whose prices are log-normal diffusions. We suppose that transactions between the assets incur a cost proportional to the size of the transaction. The problem is to maximize the total utility of consumption. Dynamic programming leads to a variational inequality for the value function. Existence and uniqueness of a viscosity solution are proved. The variational inequality is solved by using a numerical algorithm based on policies, iterations, and multigrid methods. Numerical results are displayed …
Optimal Starting-Stopping Problems For Markov-Feller Processes, Jose-Luis Menaldi, Maurice Robin, Min Sun
Optimal Starting-Stopping Problems For Markov-Feller Processes, Jose-Luis Menaldi, Maurice Robin, Min Sun
Mathematics Faculty Research Publications
By means of nested inequalities in semigroup form we give a characterization of the value functions of the starting-stopping problem for general Markov-Feller processes. Next, we consider two versions of constrained problems on the nal state or on the final time. The plan is as follows:
- Introduction
- Nested variational inequalities
- Solution of optimal starting-stopping problem
- Problems with constraints
References.