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,
SubjectStatistics and Biostatistics,
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.
NoteIncludes bibliographical references (p. 30).
CollectionGraduate School - New Brunswick Electronic Theses and Dissertations
Organization NameRutgers, The State University of New Jersey
RightsThe author owns the copyright to this work.