HJB equation with constraints
Posted: June 9th, 2002, 11:19 am
Dear All,currently I am trying to solve the consumption-investment problem in continuous-time (Merton´s problem) with constraints on the controls (consumption and portfolio weights). Does anybody have a link to a paper or a textbook that addresses this problem. In other words, how do you handle the Hamilton-Jacobi-Bellmann equation when the control variables are constrained?Thanks a lot,Costica.P.S.: I should point out that I want to solve the problem numerically. Nevertheless, I am interested in the analytical "Ansatz".