DocumentCode
3085920
Title
Optimal consumption by a bond investor: the case of random interest rate adapted to a point process
Author
Lakner, P. ; Slud, Eric
Author_Institution
Stern Sch. of Bus., New York Univ., NY, USA
fYear
1990
fDate
5-7 Dec 1990
Firstpage
2333
Abstract
The authors present a summary of previous work (P. Lakner and E. Slud, SIAM J. Control Optimization, forthcoming). Considered is a problem of optimal consumption, on a finite continuous time horizon [0. T ], by an agent who has initial wealth x >0 and invests the unconsumed wealth in a single bond. The optimal consumption process is characterized in terms of a positive martingale satisfying an almost sure condition. Existence of the characterizing martingale is discussed
Keywords
integral equations; investment; random processes; almost sure condition; bond investor; characterizing martingale; existence; finite continuous time horizon; integral equations; optimal consumption; point process; positive martingale; random interest rate; random processes; unconsumed wealth; Bonding; Boundary conditions; Computer aided software engineering; Economic indicators; Q measurement;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1990., Proceedings of the 29th IEEE Conference on
Conference_Location
Honolulu, HI
Type
conf
DOI
10.1109/CDC.1990.204042
Filename
204042
Link To Document