Optimal consumption problem in the Vasicek model

• Autorzy: Trybuła J.

Identyfikatory

DOI

http://dx.doi.Org/10.7494/OpMath.2015.35.4.547

• Języki publikacji: EN

Abstrakty

EN

We consider the problem of an optimal consumption strategy on the infinite time horizon based on the hyperbolic absolute risk aversion utility when the interest rate is an Ornstein-Uhlenbeck process. Using the method of subsolution and supersolution we obtain the existence of solutions of the dynamic programming equation. We illustrate the paper with a numerical example of the optimal consumption strategy and the value function.

Słowa kluczowe

EN

stochastic control; interest rate model; optimal consumption; HJB equation

• Wydawca: AGH University of Science and Technology Press
• Czasopismo: Opuscula Mathematica
• Rocznik: 2015
• Tom: Vol. 35, no. 4
• Strony: 547--560
• Opis fizyczny: Bibliogr. 14 poz., wykr.

Twórcy

autor

Trybuła J.

• Cracow University of Economics Department of Mathematics Rakowicka 27, 31-510 Kraków, Poland

Bibliografia

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