Publisher's Synopsis
Excerpt from Optimal Consumption and Portfolio Choice With Borrowing Constraints
The powerful theory of viscosity solutions is used in this paper. The value function is first characterized as the unique (constrained) viscosity solution of the Bellman equation. The characterization of the value function as a viscosity solution is imperative because the associated Bellman equation, which turns out to be fully nonlinear, might be degenerate (due to the constraints) About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
