Optimal Consumption and Investment Policies with Bankruptcy Modelled by a Diffusion with Delayed Reflection,
Abstract
A diffusion process with delayed reflection at zero is used to model wealth dynamic in a consumption/investment model. The speed of exit from the boundary corresponds to recovery rate from bankruptcy. An optimal behavior in the model is analyzed. Qualitative structure of the optimal feedback controls is described.
Document Details
- Document Type
- Technical Report
- Publication Date
- Sep 01, 1986
- Accession Number
- ADA176953
Entities
People
- Michael I. Taksar
- Suresh S. Sethi
Organizations
- Florida State University