A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates

  title={A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates},
  author={Ralf Korn and Holger Kraft},
  journal={SIAM J. Control and Optimization},
We consider investment problems where an investor can invest in a savings account, stocks and bonds and tries to maximize her utility from terminal wealth. In contrast to the classical Merton problem we assume a stochastic interest rate. To solve the corresponding control problems it is necessary to prove a veri cation theorem without the usual Lipschitz assumptions. 
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