DOI

https://doi.org/10.25772/1SQR-J033

Defense Date

2016

Document Type

Thesis

Degree Name

Master of Science

Department

Mathematical Sciences

First Advisor

Norma Ortiz-Robinson

Second Advisor

Paul Brooks

Third Advisor

Hassan Sedaghat

Abstract

Throughout the course of this thesis, we give an introduction to optimal control theory and its necessary conditions, prove Pontryagin's Maximum Principle, and present the life-cycle saving under uncertain lifetime optimal control problem. We present a very involved sensitivity analysis that determines how a change in the initial wealth, discount factor, or relative risk aversion coefficient may affect the model the terminal depletion of wealth time, optimal consumption path, and optimal accumulation of wealth path. Through simulation of the life-cycle saving under uncertain lifetime model, we are not only able to present the model dynamics through time, but also to demonstrate the feasibility of the model.

Rights

© The Author

Is Part Of

VCU University Archives

Is Part Of

VCU Theses and Dissertations

Date of Submission

5-13-2016

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