Zervos, Mihail; Meister, Bernhard; Knudsen, Thomas S. - In: Finance and Stochastics 3 (1999) 4, pp. 433-449
We consider a general model for an investment producing a single commodity, and, assuming that there exists a traded asset spanning the corresponding market, we prove a "verification theorem" which relates the solution of an appropriate differential equation with the investment's contingent...