Optimization of consumption with partial observation–-Jensen inequality method

DOI10.4064/AM31-4-3zbMATH Open1055.91025OpenAlexW2075645614MaRDI QIDQ4829428

Grzegorz Hałaj

Publication date: 29 November 2004

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am31-4-3

zbMATH Keywords

Jensen inequalityPontryagin maximum principleoptimal consumption with partial observation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Consumer behavior, demand theory (91B42)

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