Optimal investment and consumption in an infinite dimensional factor model with delay
Jun SekineOsaka University 上午 10:00–11:30 鴻經館 107 室Abstract:
The optimal investment and consumption problem is studied in a financial market model governed by a stochastic factor, which lives in a Hilbert space and obeys to a stochastic functional differential equation. Important examples of such stochastic factors are a forward interest rate curve model with delay and a
forward/future price curve model with delay. We are lead to solve a stochastic optimal control problem in infinite dimension. Employing a duality method, the dual value function is characterized as a unique strict solution of the associated dual HJB equation. Using it, the primal value function and the feedback-form optimal strategy are constructed.
The talk is based on a joint work with Fausto Gozzi and Cecilia Prosdocimi (LUISS, Rome).