(Corrected!) Seminar the 19th -- ¡­

(Corrected!)

Seminar the 19th -- problems:

• Optimal control: Consider the portfolio optimization problem on the blackboard, with infinite horizon and running utility f(c)=ln c. Show that for some constants a, b, then a ln (x+h)+b is superoptimal for all h>0, and optimal for h=0.

• Optimal stopping: Seierstad exercise 4.16--4.18.

• Optimal stopping: Consider section 3.3 of this article from the Undervisningsmateriale folder . Test the proposed solution (eqs. (28)--(33)) against the Bellman equation and the smooth fit condition.