Numerical Analysis of the Model of Optimal Consumption and Borrowing with Random Time Scale

Autor:	Igor G. Pospelov, Aleksandra Aleksandrovna Zhukova
Rok vydání:	2020
Předmět:	Stochastic control Boundary layer symbols.namesake Mathematical optimization Scale (ratio) Computer science Numerical analysis Functional equation symbols Time horizon Optimal control Newton's method
Zdroj:	Lecture Notes in Computer Science ISBN: 9783030406158 NUMTA (2)
DOI:	10.1007/978-3-030-40616-5_19
Popis:	This work is dedicated to modelling economic dynamics with random time scale. We propose a solution in the form a continuous time model where interactions of agents are random exchanges of finite portions of products and money at random points in time. In this framework, the economic agent determines the volume, but not the moments of the transactions and their order. The paper presents a correct formal description of optimal consumption and borrowing as a stochastic optimal control problem, which we study using the optimality conditions in the Lagrange’s form. The solution appears to have a boundary layer near the end of planning horizon where the optimal control satisfies the specific functional equation. This equation was studied numerically using the functional Newton method adapted to a two-dimensional case.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::8c08a4a867f44feaa3ffa12668f913c5 https://doi.org/10.1007/978-3-030-40616-5_19 Zobrazit plný text záznamu