المستودع الأكاديمي جامعة المدينة

"Ito's Lemma" and the Bellman equation for poisson processes : an applied view

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dc.creator Sennewald, Ken
dc.creator Wälde, Klaus
dc.date 2006
dc.date.accessioned 2013-10-16T07:03:11Z
dc.date.available 2013-10-16T07:03:11Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19148
dc.identifier ppn:510029809
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19148
dc.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.
dc.language eng
dc.publisher
dc.relation CESifo working papers 1684
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject G11
dc.subject D90
dc.subject D81
dc.subject C61
dc.subject ddc:330
dc.subject stochastic differential equation
dc.subject Poisson process
dc.subject Bellman equation
dc.subject portfolio optimization
dc.subject consumption optimization
dc.subject Portfolio-Management
dc.subject Zeitpräferenz
dc.subject Analysis
dc.subject Stochastischer Prozess
dc.subject Theorie
dc.subject Stochastische Differentialgleichung
dc.title "Ito's Lemma" and the Bellman equation for poisson processes : an applied view
dc.type doc-type:workingPaper


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