Merton's Optimal Investment Problem with Jump Signals

DOI10.1137/21M1450161MaRDI QIDQ5045202

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

Related Items

Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model

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