2 papers
q-fin.PM2018
Optimal investment and consumption for Ornstein-Uhlenbeck spread financial markets with logarithmic utility
Sahar Albosaily, Serguei Pergamenshchikov
We consider a spread financial market defined by the multidimensional Ornstein--Uhlenbeck (OU) process. We study the optimal consumption/investment problem for logarithmic utility…
math.PR2017
Optimal investment and consumption for pairs trading financial markets on small time interval
Sahar Albosaily, Serge Pergamenshchikov
In this paper we consider a pairs trading financial market with the spread of risky assets defined by the Ornstein-Uhlenbeck (OU) process. We implement an optimal strategy for powe…