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2003•Unpublished venueRequires access

HJB Equations Subject to Stochastic Control Theory and Securities Investment Models

Li Suo

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Abstract

After introducing the basic stochastic control theory, this paper discusses HJB equations which determine the existences of optimal control in different models. Considering the investors consumption, we also formulate an securities investmjent problem into toe two kinds of stochastic control models, and obtain the corresponding optimal control strategies by solving their HJB equations.

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What this paper is about

After introducing the basic stochastic control theory, this paper discusses HJB equations which determine the existences of optimal control in different models. Considering the investors consumption, we also formulate an securities investmjent problem into toe two kinds of stochastic control models, and obtain the corresponding optimal control strategies by solving their HJB equations.

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Available abstract

After introducing the basic stochastic control theory, this paper discusses HJB equations which determine the existences of optimal control in different models. Considering the investors consumption, we also formulate an securities investmjent problem into toe two kinds of stochastic control models, and obtain the corresponding optimal control strategies by solving their HJB equations.

Key concepts: Hamilton–Jacobi–Bellman equation, Stochastic control, Optimal control, Control (management), Investment (military), Consumption (sociology), Subject (documents), Mathematics

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