Merton's optimal investment problem with jump signals

DOI10.1137/21M1450161MaRDI QIDQ5045202FDOQ5045202

Authors: Peter Bank, Laura Körber 

Publication date: 4 November 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2109.13787

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zbMATH Keywords

optimal investmentjump signalMeyer \(\sigma\)-fieldstochastic integration for nonpredictable integrands

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20) Jump processes on discrete state spaces (60J74)

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• Additional logarithmic utility of an insider
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• Anticipative portfolio optimization
• Applied stochastic control of jump diffusions
• Continuous Auctions and Insider Trading
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• Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment

Cited In (3)

• Merton's optimal investment problem with jump signals
• Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment
• Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model

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