Электронная библиотека (репозиторий) Томского государственного университета

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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
Add   Optimal consumption and investment for markets with random coefficients
Authors: Berdjane, Belkacem | Pergamenshchikov, Serguei M.
Source: Finance and stochastics. 2013. Vol. 17, Iss. 2. P. 419-446
Type: статьи в журналах
Date: 2013
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