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