(1) Department of Mathematics, Faculty of Science, Ehime University, Matsuyama Ehime 7908577, Japan
Abstract:
An optimal portfolio/control problem is considered for a two-dimen-sional model in finance. A pair consisting of the wealth process and cumulutativeconsumption process driven by a geometric Lévy process is controlled by adaptedprocesses. The value function appears and turns out to be a viscosity solution to some integro-differential equation, by using the Bellman principle.
