A Martingale Approach to Optimal Portfolios with Jump-diffusions
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Publication:2884610
DOI10.1137/100784412zbMath1251.91055MaRDI QIDQ2884610
Daniel Michelbrink, Huiling Le
Publication date: 30 May 2012
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/d89a91c0afad031c82988d83400f55488406e8e5
91B16: Utility theory
60G40: Stopping times; optimal stopping problems; gambling theory
60G44: Martingales with continuous parameter
60J60: Diffusion processes
91G10: Portfolio theory
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