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


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Title: The optimal consumption problem. A numerical simulation of the value function with the presence of a random income flow.
Authors: Andersson, Angelica
Elias, Olof
Karlsson, Jakob
Svensson, Johanna
Issue Date: 26-Jun-2012
Degree: Student essay
Abstract: 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 stochas... more
URI: http://hdl.handle.net/2077/29462
Appears in Collections:Kandidatuppsatser

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