Optimal Consumption Problem in a Diffusion Short-Rate Model
Optimization and Control
2009-10-05 v1
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.
Cite
@article{arxiv.0910.0378,
title = {Optimal Consumption Problem in a Diffusion Short-Rate Model},
author = {Daniel Synowiec},
journal= {arXiv preprint arXiv:0910.0378},
year = {2009}
}
Comments
36 pages, 2 figures