Thursday, March 30
Mathematics Colloquium
03:35 PM - 04:35 PM
Location: Science Center Room 323
Cost: Free

Speaker: Cheng Ye

Advisor: Dr. Ruihua Liu

Title: An Optimal Investment Problem Using Regime-Switching Model with Stochastic Interest Rate

Abstract: We consider an investor who starts with an initial wealth X(0)=x>0 at time t=0, and at any time the investor is able to invest in a stock, a bond or a bank account. Also she can adjust her holdings continuously up to a fixed horizon time T. A wealth equation is formulated and a HJB equation is derived for the value function.  In this study, the interest rate is considered as a stochastic process. Both Vasicek model and CIR model for interest rate are used in the investment problem. For the Vasicek model, a closed-form solution is obtained. For the CIR model,  a mesh-free numerical approach using Gaussian Radial Basis function is developed and examined using numerical examples.

Refreshments are available at 3:00 PM in SC 313F.

The department colloquia are held every Thursday (excluding holidays) at 3:35 pm in room SC 323 unless otherwise noted. All are invited to attend. 

Contact Information:
Name: Paul Eloe