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- Title:
Optimal investment and consumption in a Black–Scholes market with Lévy-driven stochastic coefficients
- Author(s):
- Delong, Łukasz; Klüppelberg, Claudia
- Journal title:
- Ann. Appl. Probab.
- Year:
- 2008
- Journal volume:
- 18
- Journal issue:
- 3
- Pages contribution:
- 879-908
- Fulltext / DOI:
- doi:10.1214/07-aap475
- Publisher:
- Institute of Mathematical Statistics
- E-ISSN:
- 1050-5164
- Date of publication:
- 01.06.2008
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