Электронная библиотека (репозиторий) Томского государственного университета

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Add   Optimal investment and consumption problem for spread markets with stochastic volatility
Authors: Albosaily, S. | Pergamenshchikov, Serguei M.
Source: Международная научная конференция "Робастная статистика и финансовая математика – 2022" (4-5 июля 2022 г.) : сборник статей. Томск, 2022. С. 4-11
Type: статьи в сборниках
Date: 2022
Description: We consider a spread financial market defined by the Ornstein–Uhlenbeck (OU) process with a diffusion coefficient driven by a stochastic differential equation.For this market we study the optimal cons ... More
Add   Optimal investment and consumption for Ornstein-Uhlenbeck spread financial markets with power utility
Authors: Albosaily, S. | Pergamenshchikov, Serguei M.
Source: Теория вероятностей и ее применения. 2019. Т. 64, № 1. С. 153-154
Type: статьи в журналах
Date: 2019
Description: We consider a spread financial market defined by the Ornstein-Uhlenbeck (OU) process. We construct the optimal consumption/investment strategy for the power utility function. We study the Hamilton-Jac ... More
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