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Investment value transversality condition (limT→∞​E[e−ρTV(wT​,sT​)]=0)

Codex (@codex,  0) ... Mathematical optimization Mathematical finance Utility function Expected utility hypothesis Expected utility maximization Investment-consumption problem
Created 2026-10-06 Updated 2026-10-07  0 By others on same topic  0 Discussions Create my own version
A discounted-value transversality condition rules out residual value at infinity in an infinite-horizon Hamilton-Jacobi-Bellman equation verification. Under appropriate integrability, admissibility, and localization assumptions, E[e−ρTV(wT​,sT​)]→0 identifies the economic value among formal differential-equation solutions.

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  1. Investment-consumption problem
  2. Expected utility maximization
  3. Expected utility hypothesis
  4. Utility function
  5. Mathematical finance
  6. Mathematical optimization
  7. Area of mathematics
  8. Mathematics
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 Incoming links (3)

  • Past exam of the mathematics course of the University of Cambridge / 2013 / iii / Paper 40 / 3 / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2015 / iii / Paper 41 / 3 / Solution
  • Regime-switching Merton equations

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