A New mehod for solving merton problem in an lnfinite horizon
Publish Year: 1396
نوع سند: مقاله کنفرانسی
زبان: English
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شناسه ملی سند علمی:
ICIORS10_117
تاریخ نمایه سازی: 11 شهریور 1397
Abstract:
In classical methods for solving infinite horizon stochastic optimal control problems (SOCPs), the main attempts are focused to determine the solution by introducing the value function via dynamic programming and Hamilton-Jacobi-Bellman equation. But in general, determination of solution in a closed form is not simple. For this necessity and to find of an appropriate optimal trajectory and control, in this article, we introduce a hybrid method to solve a class of SOCPs. This new approach is combined of stochastic differential transform method (SDTM) and approximation method of infinite horizon context via finite horizon. An applicable example in economical science is also presented to show the ability and efficiency of the presented method.
Keywords:
Stochastic Optimal Control Problems , Stochastic Differential Transformation Method , Hamilton-Jacobi-Bellman equation , Merton’s Portfolio Problem
Authors
Mohammad Soleimanivareki
Department of Math, Islam Azad University of Ayatollah Amoli branch
Alireza Fakharzadeh Jahromi
Department of Math, Shiraz University of Technology