学术报告

报告人：Prof. Xinfu Chen (美国匹兹堡大学)

题目：Singular Control Approximation and Minimal Viscosity Solution Selection Principle in Optimal Consumption and Investment with Tax

时间：2015年6月10日(星期三)

下午4：00—5：00

地点：数学系致远楼102

欢迎各位参加！

Abstract

We consider a singular stochastic control problem arising from continuous-time investment and consumption with capital gains tax, where the associated Hamilton-Jacobi-Bellman (HJB) equation admits many solutions. We show that the value function corresponds to the minimal viscosity solution of the HJB equation. Moreover, we prove by an explicit construction that the optimal strategy can be approximated by a sequence of sub-optimal strategies with bounded control. As far as we know, this is the first paper to explicitly construct such approximations in the singular control literature.