@Article{Trybuła2015,
author = "Trybuła, Jakub",
title = "Optimal consumption problem in the Vasicek model",
journal = "Opuscula Math.",
year = "2015",
volume = "35",
number = "4",
pages = "547--560",
doi = "http://dx.doi.org/10.7494/OpMath.2015.35.4.547",
url = "http://dx.doi.org/10.7494/OpMath.2015.35.4.547",
abstract = "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.",
keywords = "stochastic control, interest rate model, optimal consumption, HJB equation",
issn = "1232-9274"
}