The Bellman equation for power utility maximization with semimartingales

Authors
Citation
Nutz, Marcel, The Bellman equation for power utility maximization with semimartingales, Annals of applied probability , 22(1), 2012, pp. 363-406
ISSN journal
10505164
Volume
22
Issue
1
Year of publication
2012
Pages
363 - 406
Database
ACNP
SICI code
Abstract
We study utility maximization for power utility random fields with and without intermediate consumption in a general semimartingale model with closed portfolio constraints. We show that any optimal strategy leads to a solution of the corresponding Bellman equation. The optimal strategies are described pointwise in terms of the opportunity process, which is characterized as the minimal solution of the Bellman equation. We also give verification theorems for this equation.