Optimal consumption and investment with Lévy processes
نویسندگان
چکیده
منابع مشابه
Consumption-investment problem with transaction costs for Lévy-driven price processes
We consider an optimal control problem of linear stochastic integro-differential equation with conic constraints on the phase variable and the control of singular-regular type. Our setting includes consumption-investment problems for models of financial markets in the presence of proportional transaction costs where that the prices are geometric Lévy processes and the investor is allowed to tak...
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ژورنال
عنوان ژورنال: Revista Brasileira de Economia
سال: 2003
ISSN: 0034-7140
DOI: 10.1590/s0034-71402003000400008