Date of Award
2018-01-01
Degree Name
Master of Science
Department
Mathematical Sciences
Advisor(s)
Michael Pokojovy
Abstract
In this work, we present an application of Stochastic Control Theory to the Merton's portfolio optimization problem. Then, the dynamic programming methodology is applied to reduce the whole problem to solving the well-known HJB (Hamilton-Jacobi-Bellman) equation that arises from the Merton's portfolio optimization problem subject to the power utility function. Finally, a numerical method is proposed to solve the HJB equation and the optimal strategy. The numerical solutions are compared with the explicit solutions for optimal consumption and investment control policies.
Language
en
Provenance
Received from ProQuest
Copyright Date
2018-08
File Size
98 pages
File Format
application/pdf
Rights Holder
Prince Osei Aboagye
Recommended Citation
Aboagye, Prince Osei, "On Numerical Stochastic Optimal Control Via Bellman's Dynamic Programming Principle" (2018). Open Access Theses & Dissertations. 1386.
https://scholarworks.utep.edu/open_etd/1386