TY - JOUR
T1 - Optimal consumption and portfolio decisions when the risky asset is driven by a time-inhomogeneous Markov modulated diffusion process
AU - Vallejo-Jiménez, Benjamín
AU - Venegas-Martínez, Francisco
AU - Soriano-Morales, Yazmín Viridiana
N1 - Publisher Copyright:
© 2015 Academic Publications, Ltd.
PY - 2015
Y1 - 2015
N2 - This research is aimed at finding closed-form solutions of the util- ity maximization problem that solves an infinitely-lived rational consumer when the risky asset is driven by a time-inhomogeneous Markov modulated diffusion process. We provide analytical solutions for two specific cases: transition probabilities with tendency and transition probabilities with no tendency and no periodicity.
AB - This research is aimed at finding closed-form solutions of the util- ity maximization problem that solves an infinitely-lived rational consumer when the risky asset is driven by a time-inhomogeneous Markov modulated diffusion process. We provide analytical solutions for two specific cases: transition probabilities with tendency and transition probabilities with no tendency and no periodicity.
KW - Continuous-time Markov processes
KW - Diffusion processes
KW - HamiltonJacobiBellman equation
UR - http://www.scopus.com/inward/record.url?scp=84945176923&partnerID=8YFLogxK
U2 - 10.12732/ijpam.v104i3.6
DO - 10.12732/ijpam.v104i3.6
M3 - Artículo
SN - 1311-8080
VL - 104
SP - 353
EP - 362
JO - International Journal of Pure and Applied Mathematics
JF - International Journal of Pure and Applied Mathematics
IS - 3
ER -