Stochastic Optimal Control
This chapter analyses the stochastic optimal control problem. The problem considers an economic agent over a fixed time interval [0, T]. At time t = 0, the agent is endowed with initial wealth x0, and the agent’s problem is how to allocate investments and consumption over the given time horizon. The agent must choose a portfolio-consumption strategy that will maximize the total utility over [0, T]. Practice exercises are included.
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