Optimal Consumption Problem in a Diffusion Short-Rate Model
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Publication:6215696
arXiv0910.0378MaRDI QIDQ6215696FDOQ6215696
Authors: Daniel Synowiec 
Publication date: 2 October 2009
Abstract: We consider a problem of an optimal consumption strategy on the infinite time horizon when the short-rate is a diffusion process. General existence and uniqueness theorem is illustrated by the Vasicek and so-called invariant interval models. We show also that when the short-rate dynamics is given by a Brownian motion or a geometric Brownian motion, then the value function is infinite.
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
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