Abstract
An optimal portfolio/control problem is considered for a two-dimen\-sional model in finance. A pair consisting of the wealth process and cumulutative consumption process driven by a geometric Lévy process is controlled by adapted processes. The value function appears and turns out to be a viscosity solution to some integro-differential equation, by using the Bellman principle.
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Ishikawa, Y. Optimal Control Problem Associated with Jump Processes. Appl Math Optim 50, 21–65 (2004). https://doi.org/10.1007/s00245-004-0795-9
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DOI: https://doi.org/10.1007/s00245-004-0795-9