Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model (Q3074984): Difference between revisions
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Revision as of 09:34, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model |
scientific article |
Statements
Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model (English)
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10 February 2011
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stochastic control
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risk-sensitive control
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jump-diffusion processes
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Lévy processes
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Hamilton-Jacobi-Bellman partial differential equation
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linear parabolic partial differential equation
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partial integro-differential equation
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policy improvement
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