Optimal consumption and portfolio in a jump diffusion market

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Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type (2003, methodology): “…Reikvam (2001a, 2001b, 2001c, 2002), Goll and Kallsen (2000), and Kallsen (2000), which model the risky asset as an exponential of a Lévy process, and Framstad, Øksendal, and Sulem (1999, 2001) who used a geometric stochastic differential equation driven by a Lévy process as stock price model.”
UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (2010, unknown): “[3, 10, 18]), the Heston model (cf.”
PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS (2007, unknown): “In Framstad et al. (1999), the authors deal with the problem of optimal consumption and portfolio selection in a model where the stock price follows a geometric Lévy process.”