OPTIMAL INVESTMENT AND CONSUMPTION IN A BLACK – SCHOLES MARKET WITH LÉVY-DRIVEN STOCHASTIC COEFFICIENTS By

@inproceedings{Delong2007OPTIMALIA,
  title={OPTIMAL INVESTMENT AND CONSUMPTION IN A BLACK – SCHOLES MARKET WITH L{\'E}VY-DRIVEN STOCHASTIC COEFFICIENTS By},
  author={Lukasz Delong and Claudia Kl{\"u}ppelberg},
  year={2007}
}
In this paper, we investigate an optimal investment and consumption problem for an investor who trades in a Black–Scholes financial market with stochastic coefficients driven by a non-Gaussian Ornstein–Uhlenbeck process. We assume that an agent makes investment and consumption decisions based on a power utility function. By applying the usual separation method in the variables, we are faced with the problem of solving a nonlinear (semilinear) first-order partial integro-differential equation. A… CONTINUE READING

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