Berdjane, Belkacem; Pergamenshchikov, Serguei - In: Finance and Stochastics 17 (2013) 2, pp. 419-446
We consider an optimal investment and consumption problem for a Black–Scholes financial market with stochastic coefficients driven by a diffusion process. We assume that an agent makes consumption and investment decisions based on CRRA utility functions. The dynamic programming approach leads...