Optimal Consumption and Portfolio in a Jump Diffusion Market with Proportional Transaction Costs

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Submitted on 24 May 2006

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Optimal Consumption and Portfolio in a Jump Diffusion Market with Proportional Transaction Costs

Nils Chr. Framstad, Bernt Oksendal, Agnès Sulem

To cite this version:

Nils Chr. Framstad, Bernt Oksendal, Agnès Sulem. Optimal Consumption and Portfolio in a Jump Diffusion Market with Proportional Transaction Costs. [Research Report] RR-3749, INRIA. 1999.

�inria-00072913�

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a p p o r t

d e r e c h e r c h e

INSTITUT NATIONAL DE RECHERCHE EN INFORMATIQUE ET EN AUTOMATIQUE

Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs

Nils Chr. Framstad, Bernt Øksendal and Agn`es Sulem

No 3749

Aoˆut 1999

TH `EME 4

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