Control improvement for jump-diffusion processes with applications to finance

DOI10.1007/S00245-011-9141-1MaRDI QIDQ434360zbMATH OpenOpenAlexFDO

Authors Nicole Bäuerle, Ulrich Rieder

Publication date 10 July 2012

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://publikationen.bibliothek.kit.edu/1000032857/3282658

zbMATH Keywords

portfolio optimizationcontrol improvementjump-diffusion processCRRA-utility functions

Mathematics Subject Classification ID

Cognitive psychology (91E10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 1577097 (Why is no real title available?)
• scientific article; zbMATH DE number 425394 (Why is no real title available?)
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• scientific article; zbMATH DE number 5223066 (Why is no real title available?)
• Applied stochastic control of jump diffusions.
• Continuous-time stochastic control and optimization with financial applications

Cited in

(6)

• Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market
• Exponential convergence and stability of Howard's policy improvement algorithm for controlled diffusions
• Sequential improvement method in probabilistic criteria optimization problems for linear-in-state jump diffusion systems
• scientific article; zbMATH DE number 5207903 (Why is no real title available?)
• Optimal investment under transaction costs for an insurer
• On the impulse control of jump diffusions

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