Optimal consumption control problem associated with jump-diffusion processes.
Prof. Yasushi IshikawaEhime University 上午 11:00–12:00 鴻經館 107 室We study an optimal consumption control problem in a jump-diffusion model under the uncertainty. We show a verification result to the existence of a solution of the Hamilton-Jacobi-Bellman equation associated with the stochastic optimization problem, and then give an optimal consumption policy in terms of the solution. An application to the one-sector Ramsey theory in the economic growth is also considered.