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|Title:||The optimal consumption problem. A numerical simulation of the value function with the presence of a random income flow.|
|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|
|Appears in Collections:||Kandidatuppsatser|
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