Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients
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Publication:930670
DOI10.1214/07-AAP475zbMath1140.93048arXiv0806.2570MaRDI QIDQ930670
Łukasz Delong, Claudia Klüppelberg
Publication date: 1 July 2008
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0806.2570
Hamilton-Jacobi-Bellman equationOrnstein-Uhlenbeck processsubordinatorFeynman-Kac formulautility functionLévy processBanach fixed point theoremoptimal investment and consumptionstochastic volatility model
Dynamic programming in optimal control and differential games (49L20) Fixed-point theorems (47H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
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