Abstract
We consider a spread financial market. 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 study the numeric approximation and we establish the convergence rate.
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References
Berdjane, B., Pergamenchtchikov, S.M.: Optimal consumption and investment for markets with randoms coefficients. Finance Stochast. 17(2), 419–446 (2013)
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Albosaily, S., Pergamenshchikov, S. (2018). The Optimal Investment and Consumption for Financial Markets Generated by the Spread of Risky Assets for the Power Utility. In: Corazza, M., Durbán, M., Grané, A., Perna, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-89824-7_6
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DOI: https://doi.org/10.1007/978-3-319-89824-7_6
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