Optimal Investment and Consumption for Multidimensional Spread Financial Markets with Logarithmic Utility

We consider a spread financial market defined by the multidimensional Ornstein–Uhlenbeck (OU) process. We study the optimal consumption/investment problem for logarithmic utility functions using a stochastic dynamical programming method. We show a special verification theorem for this case. We find...

Бүрэн тодорхойлолт

Номзүйн дэлгэрэнгүй

Үндсэн зохиолчид:	Sahar Albosaily, Serguei Pergamenchtchikov
Формат:	Artigo
Хэл сонгох:	Inglês
Хэвлэсэн:	MDPI AG 2021-11-01
Цуврал:	Stats
Нөхцлүүд:	optimality Feynman–Kac mapping Hamilton–Jacobi–Bellman equation Itô formula Brownian motion Ornstein–Uhlenbeck processes
Онлайн хандалт:	https://www.mdpi.com/2571-905X/4/4/58
Шошгууд:	Шошго нэмэх Шошго байхгүй, Энэхүү баримтыг шошголох эхний хүн болох!