PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2015 | 105 | 1 | 103-118
Tytuł artykułu

Dynamic programming for an investment/consumption problem in illiquid markets with regime-switching

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
We consider an illiquid financial market with different regimes modeled by a continuous time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox process with intensity depending on the market regime. Moreover, the risky asset price is subject to liquidity shocks, which change its rate of return and volatility, and induce jumps on its dynamics. In this setting, we study the problem of an economic agent optimizing her expected utility from consumption under a non-bankruptcy constraint. In this paper we perform the first step needed to treat this model: the proof of the dynamic programming principle (DPP) and the characterization of the value function as the unique viscosity solution of the associated Hamilton-Jacobi-Bellman (HJB) equation. This puts the basis for the analysis of the optimal solution of the model which is done in the companion paper of the authors (SIAM J. Control. Optim. 52 (2014)). The proof of the dynamic programming principle is not standard as in this case we do not know a priori if the value function is continuous up to the boundary.
Słowa kluczowe
Rocznik
Tom
105
Numer
1
Strony
103-118
Opis fizyczny
Daty
wydano
2015
Twórcy
autor
  • Laboratoire de Probabilités et Modèles Aléatoires, CNRS, UMR 7599, Université Paris 7 Diderot, Paris, France
autor
  • Dipartimento di Economia e Finanza, Facoltà di Economia, Università LUISS Guido Carli, Roma, Italy
autor
  • Laboratoire de Probabilités et Modèles Aléatoires, CNRS, UMR 7599, Université Paris 7 Diderot, Paris, France
  • CREST-ENSAE and JVN Institute, Vietnam National University, Ho Chi Minh City, Vietnam
Bibliografia
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.bwnjournal-article-doi-10_4064-bc105-0-8
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.