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Explicit solutions to a pair of continuous time stochastic control problems
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Jonsson Oduya, Lars Adam. Explicit solutions to a pair of continuous time stochastic control problems. Retrieved from https://doi.org/doi:10.7282/T3SN099J

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Uniform TitleExplicit solutions to a pair of continuous time stochastic control problems
NameJonsson Oduya, Lars Adam (author); Shepp, Lawrence (chair); Gundy, Richard (internal member); Berk, Robert (internal member); Palmon, Oded (outside member); Rutgers University; Graduate School - New Brunswick
Date Created2008
Other Date2008-05 (degree)
SubjectStatistics and Biostatistics, Stochastic processes
Extentv, 31 pages
DescriptionWe study a pair of continuous time stochastic control problems, arising in Financial and engineering economics respectively. We first consider the optimal consumption and investment of a utility maximizing investor without an income. The optimal consumption and investment plan is derived and a new way of obtaining closed form expressions for these quantities is provided. We then consider a simple stochastic model for optimal extraction from a groundwater aquifer that has surprising features. A result concerning optimal policies that clarifies these features is proved.
NotePh.D.
NoteIncludes bibliographical references (p. 30).
Genretheses, ETD doctoral
Persistent URLhttps://doi.org/doi:10.7282/T3SN099J
LanguageEnglish
CollectionGraduate School - New Brunswick Electronic Theses and Dissertations
Organization NameRutgers, The State University of New Jersey
RightsThe author owns the copyright to this work.
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