The Bellman equation for power utility maximization with semimartingales (Q2428054): Difference between revisions

The author studies utility maximization for power utility random fields with and without intermediate consumption in a general semimartingale setting with closed portfolio consumption. Three main results are presented. First, it is shown that any optimal strategy for the utility maximization problem can be found using the opportunity process that solves the Bellman equation. Second, the opportunity process is characterized as the minimal solution of this equation. Third, the verification theorems are given for the equation to make sure that the startegy is optimal and the solution is the opportunity process.