The opportunity process for optimal consumption and investment with power utility

DOI10.1007/s11579-010-0031-0zbMath1255.91452arXiv0912.1879OpenAlexW2116572559MaRDI QIDQ1932536

Marcel Nutz

Publication date: 20 January 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0912.1879

zbMATH Keywords

dynamic programmingconvex dualityconsumptionsemimartingalepower utility

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Consumer behavior, demand theory (91B42)

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