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Protter, P. (2000) Stochastic Integration and Differential Equations: A New Approach. Springer, New York. https://doi.org/10.1007/978-3-662-10061-5

has been cited by the following article:

• TITLE: Application of Generalized Geometric Itô-Lévy Process to Investment-Consumption-Insurance Optimization Problem under Inflation Risk

  AUTHORS: Obonye Doctor

  KEYWORDS: Utility Theory, Portfolio Optimization, Stochastic Control, Itô-Lévy Diffusions, Martingale Method, Life Insurance

  JOURNAL NAME: Journal of Mathematical Finance, Vol.11 No.2, March 2, 2021

  ABSTRACT: We consider a problem of maximizing the utility of an agent who invests in a stock, money market account and an index bond incorporating life insurance, deterministic income, and consumption. The stock is assumed to be a generalized geometric It?-Lévy process. Assuming a power utility function, we determine the optimal investment-consumption-insurance strategy under inflation risk for the investor in a jump-diffusion setting using martingale approach.