The Bellman equation for power utility maximization with semimartingales
نویسنده
چکیده
We study utility maximization for power utility random elds with and without intermediate consumption in a general semimartingale model with closed portfolio constraints. We show that any optimal strategy leads to a solution of the corresponding Bellman equation. The optimal strategies are described pointwise in terms of the opportunity process, which is characterized as the minimal solution of the Bellman equation. We also give veri cation theorems for this equation.
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ورودعنوان ژورنال:
- CoRR
دوره abs/0912.1883 شماره
صفحات -
تاریخ انتشار 2009