A Consumption–Investment Problem with Production Possibilities

DOI10.1007/978-3-540-30788-4_16zbMath1251.60056OpenAlexW210105214MaRDI QIDQ5493552

Masaaki Kijima, Youri M.Kabanov

Publication date: 23 October 2006

Published in: From Stochastic Calculus to Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-30788-4_16

zbMATH Keywords

portfolioproductionmartingalestochastic equationturnpikebackward stochastic differential equationPontryagin maximum principleconsumption-investment problemBismut stochastic maximum principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Economic growth models (91B62) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS ⋮ Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns

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