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Explicit solutions to a pair of continuous time stochastic control problems
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Title
Explicit solutions to a pair of continuous time stochastic control problems
Name
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Jonsson Oduya
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Lars Adam
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Lars Adam Jonsson Oduya
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author
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Shepp
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Lawrence
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Lawrence A Shepp
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Gundy
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Richard
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Richard F Gundy
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Berk
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Robert
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Robert H Berk
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Palmon
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Oded
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Advisory Committee
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Oded Palmon
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Rutgers University
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Graduate School - New Brunswick
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theses
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2008
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2008-05
Language
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English
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electronic
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v, 31 pages
Abstract
We 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.
Note
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Ph.D.
Note
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Includes bibliographical references (p. 30).
Subject
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Topic
Statistics and Biostatistics
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Topic
Stochastic processes
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Graduate School - New Brunswick Electronic Theses and Dissertations
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rucore19991600001
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http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.17334
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ETD_822
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doi:10.7282/T3SN099J
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ETD doctoral
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Rights
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The author owns the copyright to this work.
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Copyright protected
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Open
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Name
Adam Jonsson
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Affiliation
Rutgers University. Graduate School - New Brunswick
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Non-exclusive ETD license
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Author Agreement License
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I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
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