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Sobre la función de valor complementaria de la ecuación de Hamilton-Jacobi-Bellman

In: Fronteras en economía financiera

Author

Listed:
  • Martínez-Camacho, Arturo

    (Instituto Politécnico Nacional)

  • Palafox- Roca, Alfredo Omar

    (Instituto Politécnico Nacional)

  • Venegas-Martínez, Francisco

    (Instituto Politécnico Nacional)

Abstract

Esta investigación desarrolla, bajo el supuesto de mercados completos, el concepto de función de valor complementaria. Para ello establece el modelo de toma de decisiones de un consumidor-inversionista racional en el marcpo de utilidad esperada del tipo von Neumann-Morgenstern en un horizonte de planeación infinito. Los resultados obtenidos son consistentes con el enfoque tradicional de la programación dinámica estocástica en tiempo continuo.

Suggested Citation

  • Martínez-Camacho, Arturo & Palafox- Roca, Alfredo Omar & Venegas-Martínez, Francisco, 2012. "Sobre la función de valor complementaria de la ecuación de Hamilton-Jacobi-Bellman," Sección de Estudios de Posgrado e Investigación de la Escuela Superios de Economía del Instituto Politécnico Nacional, in: Ortiz-Arango, Francisco & López-Herrera, Francisco & Venegas-Martínez, Francisco (ed.), Fronteras en economía financiera, volume 1, chapter 11, pages 231-240, Escuela Superior de Economía, Instituto Politécnico Nacional.
    • Handle: RePEc:ipn:capitu:054
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