Abstract
This paper studies the problem of consumption optimization and equilibrium in discontinuous time financial markets. It is established that the behavior model of the stock pricing process is jump-diffusion driven by a count process. It is proved that the existence of unique optimal consumption and portfolio pair and unique equivalent martingale measure by stochastic analysis methods. The unique equivalent martingale measure, the unique optimal consumption and portfolio pair and the corresponding wealth process are deduced. Finally we provide a simple characterization of an equilibrium market.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
