AI 中文总结
研究无限期不完全市场中最优消费-投资问题，通过HJB方程解序列极限表征最优策略，对三种市场模型做数值实验并在特定参数条件下构建显式解。
AI 中文摘要
我们解决了不完全市场中的最优消费-投资问题，投资者旨在在无限时间范围内最大化来自消费的爱泼斯坦-津型随机微分效用。我们验证了最优策略可由具有精心设计边界条件的有界域中HJB方程解序列的极限来表征。还针对三种市场模型进行了数值实验，并在某些参数条件下构建了显式解。
英文摘要
We solve the optimal consumption-investment problem in incomplete markets, where the investor aims to maximise an Epstein-Zin type stochastic differential utility from consumption over an infinite time horizon. We verify that the optimal strategies can be characterised by the limit of a sequence of solutions of the HJB equation in bounded domains with carefully designed boundary conditions. We also conduct numerical experiments for three market models. Explicit solutions are constructed under some parameter regimes.
