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The value of the stock \\(S_{t}\\) follows the equation  \\[ dS_{t}=\\left(\\mu+\\int_{\\mathbb{R}\\setminus\\{0\\}}(e^{z}-1-z{\\mathbb 1} _{|z|<1})\\nu(dz)\\right)S_{t} dt+S_{t-}\\int_{\\mathbb{R}\\setminus\\{0\\}}(e^{z}-1)\\widetilde N(dt,dz), \\]  where \\(\\mu\\) is a constant, \\(\\widetilde N(dt,dz)=N(dt,dz)-dt\\times\\nu(dz)\\) is the compensated Poisson random measure. The bond has the dynamics \\(dB_{t}=rB_{t} dt\\), where \\(r>0\\) is the interest rate,  \\[ r<\\widehat\\mu= \\mu+\\int_{\\mathbb{R}\\setminus\\{0\\}} (e^{z}-1-z{\\mathbb 1} _{|z|<1})\\nu(dz). \\]  Consider an investor who wants to put his money in the stock and the bond so as to maximize the utility. Let \\(\\pi_{t}\\in [0,1]\\) be the fraction of the wealth invested in the stock at time \\(t\\). Let us introduce the process  \\[ Y_{t}^{\\pi,C}= ye^{-\\beta t}+\\beta e^{-\\beta t}\\int_{[0,t]}e^{\\beta s} dC_{s} \\]  modeling the average past consumption. Here \\(C_{t}\\) is the cumulative consumption up to time \\(t\\). Let us define the value function as  \\[ V(x,y)=\\sup_{\\pi,C\\in A_{x,y}}E\\left[\\int_0^{\\infty}e^{-\\delta t}U(Y_{t}^{\\pi,C})dt\\right], \\]  where \\(\\delta>0\\) is the discount factor, \\(A_{x,y}\\) is a set of admissible controls, \\(U\\) is a utility function. The authors prove that the value function \\(V\\) is a unique constrained viscosity solution of the integro-differential variational inequality  \\[ \\begin{multlined} \\max \\Biggl\\{\\beta v_{y}-v_{x};\\;U(y)-\\delta v-\\beta yv_{y}+ \\max_{\\pi} \\biggl[(r+(\\widehat\\mu-r)\\pi)xv_{x}\\\\ +\\int_{\\mathbb{R}\\setminus\\{0\\}} (v(x+\\pi x(e^{z}-1),y)-v(x,y)-\\pi xv_{x}(x,y)(e^{z}-1))\\nu(dz) \\biggr] \\Biggr\\}=0 \\end{multlined} \\]  in \\(D=\\{(x,y)\\in \\mathbb{R}^2:x>0,y>0\\}\\). 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