Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients (Q930670)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients |
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Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients (English)
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1 July 2008
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Banach fixed point theorem
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Feynman-Kac formula
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Hamilton-Jacobi-Bellman equation
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utility function
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Lévy process
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optimal investment and consumption
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Ornstein-Uhlenbeck process
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stochastic volatility model
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subordinator
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