Optimal consumption problems in discontinuous markets
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Publication:5746732
DOI10.1080/02331934.2013.857409zbMath1319.91137MaRDI QIDQ5746732
Publication date: 7 February 2014
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2013.857409
optimal consumption; progressive enlargement of filtrations; discontinuous martingale; single-jump process
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Optimization Methods in Mathematical Finance, Optimal investment and consumption strategies for an investor with stochastic economic factor in a defaultable market, Portfolio optimization in a defaultable Lévy-driven market model
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