Øksendal, B. and Sulem, A. (2014) Stochastic Control of Itô-Lévy Processes with Applications to Finance. Journal of Communications on Stochastic Analysis, 8, 1-15.
https://doi.org/10.31390/cosa.8.1.01

has been cited by the following article:

• TITLE: Application of Generalized Geometric Itô-Lévy Process to Investment-Consumption-Insurance Optimization Problem under Inflation Risk

  AUTHORS: Obonye Doctor

  KEYWORDS: Utility Theory, Portfolio Optimization, Stochastic Control, Itô-Lévy Diffusions, Martingale Method, Life Insurance

  JOURNAL NAME: Journal of Mathematical Finance, Vol.11 No.2, March 2, 2021

  ABSTRACT: We consider a problem of maximizing the utility of an agent who invests in a stock, money market account and an index bond incorporating life insurance, deterministic income, and consumption. The stock is assumed to be a generalized geometric It?-Lévy process. Assuming a power utility function, we determine the optimal investment-consumption-insurance strategy under inflation risk for the investor in a jump-diffusion setting using martingale approach.