Optimal Consumption Problem in a Diffusion Short-rate Model
نویسندگان
چکیده
We consider a problem of an optimal consumption strategy on the infinite time horizon when the short-rate is a diffusion process. General existence and uniqueness theorem is illustrated by the Vasicek and so-called invariant interval models. We show also that when the short-rate dynamics is given by a Brownian motion or a geometric Brownian motion, then the value function is infinite.
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