常系数投资消费模型的一些优化性质

Some Basic Properties of Optimization on the Constant Coefficient Investment-Consumption Model

本文在有交易费的常系数投资消费模型下,讨论了折算函数和价值函数的一些基本性质,即给出了价值函数的凹性、连续性、正则性和变分不等式的粘性上解以及粘性解存在性等结果.

In the paper, the constant coefficient investment-consumption model under transaction costs is given, and some basic properties of discount function and value function are discussed, such as concavity, continuity, regularity of the value function, and an viscosity supersolution and existence of viscosity solution on the variational inequality.