Optimal consumption and investment with Lévy processes

Revista Brasileira de Economia

José Fajardo Barbachan¹ 

[1] ,IBMEC Business School

关键词: Lévy processes;    incomplete markets;   

DOI  :  10.1590/S0034-71402003000400008

来源: SciELO

【 摘 要 】

We study the intertemporal consumption and investment problem in a continuous time setting when the security prices follow a Geometric Lévy process. Using stochastic calculus for semimartingales we obtain conditions for the existence of optimal consumption policies. Also, we give a charaterization of the equivalent martingale measures.

【 授权许可】

CC BY   
 All the contents of this journal, except where otherwise noted, is licensed under a Creative Commons Attribution License