{
  "id": "0910.0378",
  "version": "v1",
  "published": "2009-10-02T11:18:28.000Z",
  "updated": "2009-10-02T11:18:28.000Z",
  "title": "Optimal Consumption Problem in a Diffusion Short-Rate Model",
  "authors": [
    "Daniel Synowiec"
  ],
  "comment": "36 pages, 2 figures",
  "categories": [
    "math.OC"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2009-10-02T11:18:28.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "93E20",
      "91B28",
      "49L20"
    ],
    "keywords": [
      "diffusion short-rate model",
      "optimal consumption problem",
      "infinite time horizon",
      "invariant interval models",
      "optimal consumption strategy"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 36,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2009arXiv0910.0378S"
    }
  }
}