Economics, Econometrics and Finance
8 years ago

New research reveals breakthrough method for maximizing expected utility under constraints.

arXiv (Cornell University)
Viscosity properties with singularities in a state-constrained expected utility maximization problem
Mourad Lazgham

Paper Summary

The article explores how to solve a problem involving making decisions under uncertainty while considering limited resources. The researchers found a way to connect this problem to a specific type of mathematical equation. By using a method called dynamic programming, they identified conditions for when the solution to the equation matches the optimal decision-making process. They also showed that the solution to the problem is unique and can be described using this mathematical equation.

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