OPTIMAL INVESTMENT CONSUMPTION MODEL WITH A HIGHER INTEREST RATE FOR BORROWING

作     者：FeiWeiyin WuRangquan Fei Weiyin;Wu Rangquan

作者机构：BasicDept.AnhuiInstituteofMechanicalandElecticalEngineeringWuhu241000 DepartmentofAppliedMathematicsDonghuaUniversityShanghai200051 

出 版 物：《Applied Mathematics(A Journal of Chinese Universities)》 (高校应用数学学报（英文版）（B辑）)

年 卷 期：2000年第15卷第3期

页      面：350-358页

核心收录：

学科分类：01[哲学] 0101[哲学-哲学] 010104[哲学-逻辑学] 07[理学] 070104[理学-应用数学] 0701[理学-数学] 

主　　题：Stochastic control consumption and investment convex analysis martingale dividend rate. 

摘      要：This paper considers a consumption and investment decision problem with a higher interest rate for borrowing as well as the dividend *** is divided into a riskless asset and risky asset with logrithmic Brownian motion price *** stochastic control problem of maximizating expected utility from terminal wealth and consumption is *** conditions for optimality are *** using duality methods,the existence of optimal portfolio consumption is proved,and the explicit solutions leading to feedback formulae are derived for deteministic coefficients.