Applied Mathematics and Optimization, Vol.50, No.1, 21-65, 2004
Optimal control problem associated with jump processes
An optimal portfolio/control problem is considered for a two-dimensional model in finance. A pair consisting of the wealth process and cumulative consumption process driven by a geometric Levy 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.