14 citations · 30 across the 9 of their papers we have counts for
Showing q-fin.PMShow all
2 papers · 1 filter
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…
q-fin.PM2012
Sequential -optimal consumption and investment for stochastic volatility markets with unknown parameters
Belkacem Berdjane, Sergei Pergamenshchikov
We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic volatility and unknown stock appreciation rate. The volatility parame…