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Published in:
2013 | OriginalPaper | Chapter
Optimal Investment-consumption for Partially Observed Jump-diffusions
Author : Claudia Ceci
Published in: Seminar on Stochastic Analysis, Random Fields and Applications VII
Publisher: Springer Basel
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We deal with an optimal consumption-investment problem under restricted information in a financial market where the risky asset price follows a non-Markovian geometric jump-diffusion process. We assume that agents acting in the market have access only to the information flow generated by the stock price and that their individual preferences are modeled through a power utility. We solve the problem with a two steps procedure. First, by using filtering results we reduce the partial information problem to a full information one involving only observable processes. Next, by using dynamic programming, we characterize the value process and the optimal-consumption strategy in terms of solution to a backward stochastic differential equation.