IJPAM: Volume 57, No. 4 (2009)
INFORMATION FOR ORNSTEIN-UHLENBECK MODEL



Shenyang Normal University
Shenyang, 110034, P.R. CHINA


Abstract.This paper deals with a class of stochastic optimization
and consumption models for the exponential utility, which is
maximizing the expected utility of the terminal wealth and
intermediate consumption. The stock price is modelled as a
stochastic differential equation with instantaneous rates of return
modelled as an Ornstein-Uhlenbeck process. Only the stock price and
interest rate can be observable for an investor. It is reduced to a
partially observed stochastic control problem. Combining the
filtering theory with the dynamic programming approach,
corresponding optimal strategies are derived.
Received: November 11, 2009
AMS Subject Classification: 93E20, 91B28, 93E11
Key Words and Phrases: Hamilton-Jacobi-Bellman (HJB) equation, utility maximization, filtering theory
Source: International Journal of Pure and Applied Mathematics
ISSN: 1311-8080
Year: 2009
Volume: 57
Issue: 4