A utility maximisation problem on multiple time scales. Issue 1 (1st January 2011)

• Record Type: Journal Article
• Authors: Atici, Ferhan M.; Biles, Daniel C.; Lebedinsky, Alex
• Is Part Of: International journal of dynamical systems and differential equations. Volume 3:Issue 1/2(2011)
• Page Start: 38
• Page End: 47
• Publication Date: 2011-01-01
• Subjects: calculus of variations -- time scales -- delta derivative -- dynamic models -- optimisation; Differential equations -- Periodicals; 515.35
• DOI: 10.1504/IJDSDE.2011.038495
• Languages: English
• ISSNs: 1752-3583

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.