TY  - JOUR
ID  - Trybuła2015
LB  - Trybuła2015
AU  - Trybuła, Jakub
TI  - Optimal consumption problem in the Vasicek model
ST  - Optimal consumption problem in the Vasicek model
JO  - Opuscula Math.
JA  - Opuscula Math.
JF  - Opuscula Mathematica
PY  - 2015
VL  - 35
IS  - 4
SP  - 547
EP  - 560
DO  - http://dx.doi.org/10.7494/OpMath.2015.35.4.547
UR  - http://dx.doi.org/10.7494/OpMath.2015.35.4.547
AB  - 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.
KW  - stochastic control
KW  - interest rate model
KW  - optimal consumption
KW  - HJB equation
SN  - 1232-9274
ER  -