Optimal consumption problem in the Vasicek model

Tyt. z nagłówka.Bibliogr. s. 559-560.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.Dostępny również w formie drukowanej.KEYWORDS: stochastic control, interest rate model, optimal consumption, HJB equation