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Maximization of Wealth in a Jump-Diffusion Model

DOI: 10.3968/j.sms.1923845220130601.105

Keywords: Optimization problem , Equivalent martingale measure , Count process

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Abstract:

This paper study the problem of wealth optimization when jump-diffusion asset price model being driven by a count process that more general than Poisson process. It is found unique equivalent martingale measure, we employ the conventional stochastic analysis methods. It is proved that the existence of an optimal portfolio and consumption process. The optimal wealth process, the value function, the optimal portfolio and consumption process are given.

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