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Optimization in stochastic systems and applications to consumption problems

Research Project

Project/Area Number 11640126
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field General mathematics (including Probability theory/Statistical mathematics)
Research InstitutionEhime University

Principal Investigator

MORIMOTO Hiroaki  Ehime University, Faculty of Science, Professor, 理学部, 教授 (80166438)

Co-Investigator(Kenkyū-buntansha) ISHIKAWA Yasushi  Ehime University, Faculty of Science, Associate Professor, 理学部, 助教授 (70202976)
YANAGI Shigenori  Ehime University, Faculty of Science, Associate Professor, 理学部, 助教授 (10253296)
KAWAGUCHI Kazuhito  Ehime University, Faculty of Law and Letters, Associate Professor, 法文学部, 助教授 (30234040)
Project Period (FY) 1999 – 2000
Project Status Completed (Fiscal Year 2000)
Budget Amount *help
¥2,100,000 (Direct Cost: ¥2,100,000)
Fiscal Year 2000: ¥900,000 (Direct Cost: ¥900,000)
Fiscal Year 1999: ¥1,200,000 (Direct Cost: ¥1,200,000)
KeywordsStochastic Control / Stochastic differential equation / Hamilton-Jacobi-Bellman / consumption / Investment / Optimization / 確率過程 / 粘性解 / 非線形偏微分方程式
Research Abstract

The objective is to study the optimization problems in Mathematical Economics and Mathematical Finance by the recent theory of stochastic control. The main interest lies in finding the solutions of non-linear differential equations called the Hamilton-Jacobi-Bellman equations. It is proved that these equations admit the classical solutions by using the viscosity solution method. The optimal policies are shown to exist and given from the optimality conditions of the equations. The research results supported by this grant can be stated in the following summaries of three articles below.
1 : We study the ergodic control problem of production planning in stochastic manufacturing systems with constant demand. The optimal control and the minimum value are given by a solution to the corresponding Bellman equation.
2 : We study consumption/investment problems with long-term time-average utilities. The associated Hamilton-Jacobi-Bellman equation can be solved under some regularity conditions of utility-rate function, and the optimal portfolio and consumption-rates are exhibited in explicit forms. An application to the optimization problem with finite horizon is also given.
3 : We study the stochastic optimization problem of renewable resources to maximize the expected discounted utility of exploitation. The optimal policy is shown to exist and given in a feedback form or a stochastic version of Hotelling's rule.

Report

(3 results)
  • 2000 Annual Research Report   Final Research Report Summary
  • 1999 Annual Research Report
  • Research Products

    (14 results)

All Other

All Publications (14 results)

  • [Publications] H.Morimoto and K.Kawaguchi: "Optimal exploitation of renewable resources by the viscosity sclution method"Stoch.Anal.Appl.. (掲載予定).

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] T.Adachi and H.Morimoto: "On consumption/investment problems with long-term time-average inequalities"Stoch.Stoch.Rep.. 68. 255-271 (2000)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] H.Morimoto and Y.Fujita: "Ergodic control in stochastic manufacturing systems with constant demand"J.Math.Anal.Appl.. 243. 228-248 (2000)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] H.Morimoto and Y.Fujita: "Ergodic control in stochastic manufacturing Systems with constant demand"J.Math.Anal.Appl.. 243. 228-248 (2000)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] T.Adachi and H.Morimoto: "On consumption/investment problems With long-term time-average utilities"Stoch.Stoch.Rep.. 68. 255-271 (2000)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] H.Morimoto and K.Kawaguchi: "Optimal exploitation of renewable resources by the viscosity solution method"Stoch.Anal.Appl.. (in press).

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] H,Morimoto and K,Kawaguchi: "Optimal exploitation of renewable resources by the viscosity solution method"Stoch,Anal,Appl,. (掲載予定).

    • Related Report
      2000 Annual Research Report
  • [Publications] T,Adachi and H,Morimoto: "On consumption/investment problems with long-term time-average utilities"Stoch.Stoch.Rep.. 68. 255-271 (2000)

    • Related Report
      2000 Annual Research Report
  • [Publications] H,Morimoto and Y.Fujita: "Ergodic centrol in stochastic manufacturing systems with constant demand"J,Math,Anal,Appl,. 243. 228-248 (2000)

    • Related Report
      2000 Annual Research Report
  • [Publications] Y.fujita and H.Morimoto: "On Bellman equations in quadratic ergodic control with controller constraints"Appl.Math.Optim.. 39. 1-15 (1999)

    • Related Report
      1999 Annual Research Report
  • [Publications] H.Morimoto and M.Okada: "Some results on the Bellman equation of ergodic control"SIAM J.Control Optim.. (in press).

    • Related Report
      1999 Annual Research Report
  • [Publications] H.Morimoto and Y.Fujita: "Ergodec control in stockastic manufacturing systems with constant demand"J.Math.A;nal.Appl. (in press).

    • Related Report
      1999 Annual Research Report
  • [Publications] T.Adachi and H.Morimoto: "On consumption/investment with long-term time-average utilities"Stockastics and Stockastics Reports. (in press).

    • Related Report
      1999 Annual Research Report
  • [Publications] H.Morimoto and K.Kawaguchi: "Optimal exploitation of renewable resources by The viscosity solution method"Stockastic Analysis and Applications. (in press).

    • Related Report
      1999 Annual Research Report

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Published: 1999-04-01   Modified: 2016-04-21  

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