Optimal investment and consumption for financial markets with jumps under transaction costs

DOI10.1007/s00780-023-00521-1zbMath1530.91525MaRDI QIDQ6181518

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Publication date: 2 January 2024

Published in: Finance and Stochastics (Search for Journal in Brave)

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdynamic programmingstochastic controlfinancial marketsoptimal investment/consumption problem

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)

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