Consumption-investment problem with transaction costs for Lévy-driven price processes

نویسندگان

  • Dimitri De Vallière
  • Yuri Kabanov
  • Emmanuel Lépinette
چکیده

We consider an optimal control problem of linear stochastic integro-differential equation with conic constraints on the phase variable and the control of singular-regular type. Our setting includes consumption-investment problems for models of financial markets in the presence of proportional transaction costs where that the prices are geometric Lévy processes and the investor is allowed to take short positions. We prove that the Bellman function of the problem is a viscosity solution of the HJB equation. A uniqueness theorem for the solution of the latter is established. Special attention is paid to the Dynamic Programming Principle.

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عنوان ژورنال:
  • Finance and Stochastics

دوره 20  شماره 

صفحات  -

تاریخ انتشار 2016