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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19148| Title: | "Ito's Lemma" and the Bellman equation for poisson processes : an applied view |
| Keywords: | G11 D90 D81 C61 ddc:330 stochastic differential equation Poisson process Bellman equation portfolio optimization consumption optimization Portfolio-Management Zeitpräferenz Analysis Stochastischer Prozess Theorie Stochastische Differentialgleichung |
| Issue Date: | 16-Oct-2013 |
| Publisher: | |
| Description: | Using the Hamilton-Jacobi-Bellman equation, we derive both a Keynes-Ramsey rule and a closed form solution for an optimal consumption-investment problem with labor income. The utility function is unbounded and uncertainty stems from a Poisson process. Our results can be derived because of the proofs presented in the accompanying paper by Sennewald (2006). Additional examples are given which highlight the correct use of the Hamilton-Jacobi- Bellman equation and the change-of-variables formula (sometimes referred to as ?Ito?s- Lemma?) under Poisson uncertainty. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19148 |
| Other Identifiers: | http://hdl.handle.net/10419/19148 ppn:510029809 |
| Appears in Collections: | EconStor |
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