A utility maximisation problem on multiple time scales
by Ferhan M. Atici, Daniel C. Biles, Alex Lebedinsky
International Journal of Dynamical Systems and Differential Equations (IJDSDE), Vol. 3, No. 1/2, 2011

Abstract: In this paper, we present a technique for a dynamic optimisation problem in which the value function and constraints can be on different time scales. Using this technique we solve a perfect-foresight utility maximisation problem for a finitely-lived consumer while making very general assumptions about timing of consumption and investing decisions.

Online publication date: Sat, 24-Jan-2015

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