1 February 2008
In this paper we derive a stochastic partial di¤erential equation whose solutions are processes relevant to the portfolio choice problem. The mar- ket is incomplete and asset prices are modelled as Ito processes. We provide solutions of the SPDE for various choices of its volatility coe¢ - cient. We also show how to imbed the classical Merton problem into our framework.
- Mathematical Finance Seminar