• English
    • svenska
  • svenska 
    • English
    • svenska
  • Logga in
Redigera dokument 
  •   Startsida
  • Student essays / Studentuppsatser
  • Department of Mathematical Sciences / Institutionen för matematiska vetenskaper
  • Kandidatuppsatser
  • Redigera dokument
  •   Startsida
  • Student essays / Studentuppsatser
  • Department of Mathematical Sciences / Institutionen för matematiska vetenskaper
  • Kandidatuppsatser
  • Redigera dokument
JavaScript is disabled for your browser. Some features of this site may not work without it.

The optimal consumption problem. A numerical simulation of the value function with the presence of a random income flow.

Sammanfattning
In this thesis two methods are used to solve the optimal consumption problem. The optimal consumption problem is a well known problem in mathematical nance which in its original form was solved by Robert Merton. This report considers an extension with a presence of a random income ow. The problem is approximately solved using two numerical methods, the approximating Markov chain approach and the in nite series expansion. The Markov chain approach is a general method developed for stochastic control theory whereas the in nite series expansion method only can be applied to a speci c set of problems. In the thesis the methods are implemented and compared using MATLAB. The methods seem to complement each other well however the results are somewhat inconclusive.
Examinationsnivå
Student essay
URL:
http://hdl.handle.net/2077/29462
Samlingar
  • Kandidatuppsatser
Fil(er)
gupea_2077_29462_1.pdf (558.6Kb)
Datum
2012-06-26
Författare
Andersson, Angelica
Elias, Olof
Karlsson, Jakob
Svensson, Johanna
Språk
eng
Metadata
Visa fullständig post

DSpace software copyright © 2002-2016  DuraSpace
gup@ub.gu.se | Teknisk hjälp
Theme by 
Atmire NV
 

 

Visa

VisaSamlingarI datumordningFörfattareTitlarNyckelordDenna samlingI datumordningFörfattareTitlarNyckelord

Mitt konto

Logga inRegistrera dig

DSpace software copyright © 2002-2016  DuraSpace
gup@ub.gu.se | Teknisk hjälp
Theme by 
Atmire NV