Optimal investment and consumption in a Black¿Scholes market with Lévy-driven stochastic coefficients.

@inproceedings{Delong2008OptimalIA,
  title={Optimal investment and consumption in a Black¿Scholes market with L{\'e}vy-driven stochastic coefficients.},
  author={Łukasz Delong and Claudia Kl{\"u}ppelberg},
  year={2008}
}
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… CONTINUE READING

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