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Browsing by Subject "HJB equation"

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  • thumbnail.journal.alt
    Item type:Article, Access status: Open Access ,
    Optimal consumption problem in the Vasicek model
    (2015) Trybuła, Jakub
    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.
  • thumbnail.journal.alt
    Item type:Thesis, Access status: Restricted ,
    Znaczenie arbitrażu statystycznego w podejmowaniu decyzji inwestycyjnych
    (Data obrony: 2015-10-16) Płaziak, Mateusz
    Wydział Matematyki Stosowanej