Optimal consumption and investment with Lévy processes
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 o...
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| Format: | Article |
| Language: | English |
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Fundação Getúlio Vargas
2003-12-01
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| Series: | Revista Brasileira de Economia |
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| Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402003000400008 |