Sviščuk, Anatolij - In: Risks : open access journal 9 (2021) 6, pp. 1-13
We show how to solve Merton optimal investment stochastic control problem for Hawkesbased models in finance and insurance (Propositions 1 and 2), i.e., for a wealth portfolio X(t) consisting of a bond and a stock price described by general compound Hawkes process (GCHP), and for a capital R(t)...
