Before revision: This article studies a portfolio optimization problem, without any consumption and transaction cost, where the market consisting of several stocks is modeled by a multi-dimensional jump diffusion process with age-dependent semi-Markov modulated coefficients.
After revision: This article studies a portfolio optimization problem, without any consumption and transaction cost, where the market consisting of several stocks is modeled by a multi-dimensional jump-diffusion process with age-dependent semi-Markov modulated coefficients.