OPTIMAL CONSUMPTION PROBLEMS IN INCOMPLETE MARKETS

Abstract

We solve the problem of an agent who seeks to maximize expected utility from consumption plus expected utility from terminal wealth and give asummary of optimal consumption and portfolio method , the market model is quite general , allowing the coefficient processes to be stochastic process. We study hedging strategies in incomplete market by compute the upper hedging price hup (K) . Finally , we get an optimal portifolio problem with logarithmic utility in markets with insider where the deriving process is a l'evy process .