Expected Utility Optimization and Polynomial Aproximations

Specialeforsvar ved Alexander Lollike

Titel: Expected Utility Optimization and  Polynomial Approximations

Abstract: Moments of stochastic variables describing wealth can be used in the construction of approximations to value functions. The thesis examines the optimal controls induced by two different methods of approximating a value function - using Taylor polynomials and Bernstein polynomials. The thesis presents an optimal control for a polynomial approximation of any uniformly continuous utility function, constructed in such a way that the optimal control of the approximated problem converges to the original optimal control

Vejleder: Mogens Steffensen
Censor:   Kenneth Bruhn