In the present paper, a class of explicit forward time-difference schemes are established from a geometric view with strict analytical deductions. This class includes the schemes with a constant time interval and with...In the present paper, a class of explicit forward time-difference schemes are established from a geometric view with strict analytical deductions. This class includes the schemes with a constant time interval and with adjustable time intervals, which is proved to be effective and remarkably time-saving in numerical tests and applications.展开更多
This paper investigates an optimal investment strategy on consumption and portfolio problem, in which the investor must withdraw funds continuously at a given rate. By analyzing the evolving process of wealth, we give...This paper investigates an optimal investment strategy on consumption and portfolio problem, in which the investor must withdraw funds continuously at a given rate. By analyzing the evolving process of wealth, we give the definition of safe-region for investment. Moreover, in order to obtain the target wealth as quickly as possible, using Bellman dynamic programming principle, we get the optimal investment strategy and corresponding necessary expected time. At last we give some numerical computations for a set of different parameters.展开更多
基金Partly supported by the State Major Key Project for Basic Researches of China
文摘In the present paper, a class of explicit forward time-difference schemes are established from a geometric view with strict analytical deductions. This class includes the schemes with a constant time interval and with adjustable time intervals, which is proved to be effective and remarkably time-saving in numerical tests and applications.
文摘This paper investigates an optimal investment strategy on consumption and portfolio problem, in which the investor must withdraw funds continuously at a given rate. By analyzing the evolving process of wealth, we give the definition of safe-region for investment. Moreover, in order to obtain the target wealth as quickly as possible, using Bellman dynamic programming principle, we get the optimal investment strategy and corresponding necessary expected time. At last we give some numerical computations for a set of different parameters.
