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2003•Journal of Changsha Railway UniversityRequires access

Study on Optimal Investment and Consumption Model Considering Divident Payment and Stochastic Income in Incomplete Markets

Ding Chuan

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Abstract

This paper studies the optimal consumption and investment problem when the investor has a stochastic income and divident in incomplete markets.With viscosity solution techniques,we've obtained that the value function of the stochastic control problem is a smooth solution of the corresponding HJB eqution.The optimal strategy is proved and presented in feedback form.Keywords:stochastic differential equation;optimal investment and consumption;stochastic control;viscosity solution

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This paper studies the optimal consumption and investment problem when the investor has a stochastic income and divident in incomplete markets.With viscosity solution techniques,we've obtained that the value function of the stochastic control problem is a smooth solution of the corresponding HJB eqution.The optimal strategy is proved and presented in feedback form.Keywords:stochastic differential equation;optimal investment and consumption;stochastic control;viscosity solution

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Available abstract

This paper studies the optimal consumption and investment problem when the investor has a stochastic income and divident in incomplete markets.With viscosity solution techniques,we've obtained that the value function of the stochastic control problem is a smooth solution of the corresponding HJB eqution.The optimal strategy is proved and presented in feedback form.Keywords:stochastic differential equation;optimal investment and consumption;stochastic control;viscosity solution

Key concepts: Hamilton–Jacobi–Bellman equation, Viscosity solution, Stochastic control, Consumption (sociology), Investment (military), Bellman equation, Incomplete markets, Stochastic differential equation

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