Optimal investment and consumption for Ornstein-Uhlenbeck spread financial markets with power utility

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Optimal investment and consumption for Ornstein-Uhlenbeck spread financial markets with power utility	960 KB	Adobe Acrobat PDF	Read	Download
DOI Доступ к ресурсу на сайте издателя			10.4213/tvp5257

Title: Optimal investment and consumption for Ornstein-Uhlenbeck spread financial markets with power utility
Creator: Albosaily, S.
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Pergamenshchikov, Serguei M.
Date: 2019
DOI: 10.4213/tvp5257
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-Jacobi-Bellman (HJB) equation by the Feynman-Kac (FK) representation. We show the existence and uniqueness theorem for the classical solution. We study the numeric approximation and we establish the convergence rate. It turns out that in this case the convergence rate for the numerical scheme is super geometrical, i.e., more rapid than any geometrical one