Stochastic control of SDEs associated with Lévy generators and application to financial optimization (Q2266834)
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scientific article; zbMATH DE number 5675209
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| English | Stochastic control of SDEs associated with Lévy generators and application to financial optimization |
scientific article; zbMATH DE number 5675209 |
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Stochastic control of SDEs associated with Lévy generators and application to financial optimization (English)
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26 February 2010
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The purpose of this paper is to study the optimal control of jump type stochastic differential equations associated with general Levy generators and give its application to optimization problems in financial markets under the influence of non-Gaussian stochastic volatility.
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Levy generators
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jump type stochastic differential equation
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optimal control
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maximum principle
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portfolio optimization
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0.8648461699485779
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0.840706467628479
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0.8363776206970215
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0.8151019811630249
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