"Itô's lemma" and the Bellman equation for Poisson processes: an applied view
Using the Hamilton-Jacobi-Bellman equation, we derive both a Keynes-Ramsey rule and a closed form solution for an optimal consumption-investment problem with labor income. The utility function is unbounded and uncertainty stems from a Poisson process. Our results can be derived because of the proofs...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
München
Ces
2006
München Ifo |
| Schriftenreihe: | CESifo working paper
1684 : Category 10, Empirical and theoretical methods |
| Schlagworte: | |
| Zusammenfassung: | Using the Hamilton-Jacobi-Bellman equation, we derive both a Keynes-Ramsey rule and a closed form solution for an optimal consumption-investment problem with labor income. The utility function is unbounded and uncertainty stems from a Poisson process. Our results can be derived because of the proofs presented in the accompanying paper by Sennewald (2006). Additional examples are given which highlight the correct use of the Hamilton-Jacobi-Bellman equation and the change-of-variables formula (sometimes referred to as Ito's-Lemmaʺ) under Poisson uncertainty. |
| Beschreibung: | Auch im Internet unter den Adressen www.SSRN.com und www.CESifo-group.de |
| Beschreibung: | 30 S. |
Internformat
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| id | DE-604.BV021667597 |
| illustrated | Not Illustrated |
| index_date | 2024-07-02T15:07:52Z |
| indexdate | 2024-07-09T20:41:12Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-014882022 |
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| physical | 30 S. |
| publishDate | 2006 |
| publishDateSearch | 2006 |
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| publisher | Ces Ifo |
| record_format | marc |
| series | CESifo working paper |
| series2 | CESifo working paper |
| spelling | Sennewald, Ken Verfasser aut "Itô's lemma" and the Bellman equation for Poisson processes an applied view Ken Sennewald ; Klaus Waelde. Center for Economic Studies & Ifo Institute for Economic Research München Ces 2006 München Ifo 30 S. txt rdacontent n rdamedia nc rdacarrier CESifo working paper 1684 : Category 10, Empirical and theoretical methods Auch im Internet unter den Adressen www.SSRN.com und www.CESifo-group.de Using the Hamilton-Jacobi-Bellman equation, we derive both a Keynes-Ramsey rule and a closed form solution for an optimal consumption-investment problem with labor income. The utility function is unbounded and uncertainty stems from a Poisson process. Our results can be derived because of the proofs presented in the accompanying paper by Sennewald (2006). Additional examples are given which highlight the correct use of the Hamilton-Jacobi-Bellman equation and the change-of-variables formula (sometimes referred to as Ito's-Lemmaʺ) under Poisson uncertainty. Poisson-Prozess (DE-588)4174971-6 gnd rswk-swf Hamilton-Jacobi-Differentialgleichung (DE-588)4158954-3 gnd rswk-swf Poisson-Prozess (DE-588)4174971-6 s Hamilton-Jacobi-Differentialgleichung (DE-588)4158954-3 s 1\p DE-604 Wälde, Klaus 1966- Verfasser (DE-588)130598372 aut CESifo working paper 1684 : Category 10, Empirical and theoretical methods (DE-604)BV013978326 1684 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Sennewald, Ken Wälde, Klaus 1966- "Itô's lemma" and the Bellman equation for Poisson processes an applied view CESifo working paper Poisson-Prozess (DE-588)4174971-6 gnd Hamilton-Jacobi-Differentialgleichung (DE-588)4158954-3 gnd |
| subject_GND | (DE-588)4174971-6 (DE-588)4158954-3 |
| title | "Itô's lemma" and the Bellman equation for Poisson processes an applied view |
| title_auth | "Itô's lemma" and the Bellman equation for Poisson processes an applied view |
| title_exact_search | "Itô's lemma" and the Bellman equation for Poisson processes an applied view |
| title_exact_search_txtP | "Itô's lemma" and the Bellman equation for Poisson processes an applied view |
| title_full | "Itô's lemma" and the Bellman equation for Poisson processes an applied view Ken Sennewald ; Klaus Waelde. Center for Economic Studies & Ifo Institute for Economic Research |
| title_fullStr | "Itô's lemma" and the Bellman equation for Poisson processes an applied view Ken Sennewald ; Klaus Waelde. Center for Economic Studies & Ifo Institute for Economic Research |
| title_full_unstemmed | "Itô's lemma" and the Bellman equation for Poisson processes an applied view Ken Sennewald ; Klaus Waelde. Center for Economic Studies & Ifo Institute for Economic Research |
| title_short | "Itô's lemma" and the Bellman equation for Poisson processes |
| title_sort | ito s lemma and the bellman equation for poisson processes an applied view |
| title_sub | an applied view |
| topic | Poisson-Prozess (DE-588)4174971-6 gnd Hamilton-Jacobi-Differentialgleichung (DE-588)4158954-3 gnd |
| topic_facet | Poisson-Prozess Hamilton-Jacobi-Differentialgleichung |
| volume_link | (DE-604)BV013978326 |
| work_keys_str_mv | AT sennewaldken itoslemmaandthebellmanequationforpoissonprocessesanappliedview AT waldeklaus itoslemmaandthebellmanequationforpoissonprocessesanappliedview |