SIAM Journal on Control and Optimization, Vol.40, No.4, 1250-1269, 2001
A stochastic control approach to portfolio problems with stochastic interest rates
We consider investment problems where an investor can invest in a savings account, stocks, and bonds and tries to maximize her utility from terminal wealth. In contrast to the classical Merton problem, we assume a stochastic interest rate. To solve the corresponding control problems it is necessary to prove a verification theorem without the usual Lipschitz assumptions.