Analytical and numerical solution to a novel optimal investment-consumption combination problem on the basis of stochastic control theory

2025 · doi:10.22541/au.174473842.25888634/v1
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Abstract

In this paper, we obtain the analytical solution to Hamilton-Jacobi-Bellman (HJB) equation of a novel optimal investment-consumption combination problem under the condition that the random fluctuation of stock return is completely correlated with the random fluctuation of interest rate, and the random fluctuation of stock return is completely correlated with the random fluctuation of income growth rate. At the same time, we explore the numerical solution to the model in the same equation form, and conclude that the numerical operation of the model can only be carried out when the random fluctuations between interest rate, stock return, unit commodity price growth rate and income growth rate satisfy certain condition. Supplementary Material File (zhangdou2025.pdf) - Download - 529.33 KB Information & Authors Information Version history Copyright This work is licensed under a Non Exclusive No Reuse License.

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Authors Metrics & Citations Metrics Article Usage 174views 87downloads Citations Download citation Hongtian Zhang. Analytical and numerical solution to a novel optimal investment-consumption combination problem on the basis of stochastic control theory. Authorea. 15 April 2025. DOI: https://doi.org/10.22541/au.174473842.25888634/v1 DOI: https://doi.org/10.22541/au.174473842.25888634/v1 If you have the appropriate software installed, you can download article citation data to the citation manager of your choice. Simply select your manager software from the list below and click Download. For more information or tips please see 'Downloading to a citation manager' in the Help menu.

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