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MaPhySto
Centre for Mathematical Physics and Stochastics
Department of Mathematical Sciences, University of Aarhus

Funded by The Danish National Research Foundation

MPS-RR 1999-21
June 1999




Optimal portfolio selection with consumption and nonlinear integro-differential equations

A viscosity solution approach

by:

Fred Espen Benth, Kenneth Hvistendahl Karlsen, Kristin Reikvam

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This paper has now been published in Finance and Stochastics. Vol. 5 (3), 275-303 (2001)