Numerical Methods for an Optimal Investment-Consumption Model

DOI10.1287/moor.16.4.823zbMath0744.90003OpenAlexW2142294001MaRDI QIDQ3989819

Wendell H. Fleming, Ben G. Fitzpatrick

Publication date: 28 June 1992

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.16.4.823

zbMATH Keywords

discrete approximationsinvestment/consumption

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Economic growth models (91B62) Optimal stochastic control (93E20)

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