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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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