Optimal consumption problem in the Vasicek model

DOI10.7494/OpMath.2015.35.4.547zbMath1330.93245MaRDI QIDQ3455473

Jakub Trybuła

Publication date: 4 December 2015

Published in: Opuscula Mathematica (Search for Journal in Brave)

zbMATH Keywords

stochastic controlinterest rate modelHJB equationoptimal consumption

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items

On the parabolic equation for portfolio problems ⋮ The investor problem based on the HJM model

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• A theory of bond portfolios
• Applied stochastic control of jump diffusions.
• Optimal portfolio choice in the bond market
• Continuous-time stochastic control and optimization with financial applications
• Jump-diffusion models with constant parameters for financial log-return processes
• Controlled Markov processes and viscosity solutions
• On the Hamilton--Jacobi--Bellman Equation for an Optimal Consumption Problem: I. Existence of Solution
• On the Hamilton--Jacobi--Bellman Equation for an Optimal Consumption Problem: II. Verification Theorem
• A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
• An Application of Stochastic Control Theory to Financial Economics
• STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
• Unnamed Item

This page was built for publication: Optimal consumption problem in the Vasicek model