Stochastic control of SDEs associated with Lévy generators and application to financial optimization (Q2266834)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic control of SDEs associated with Lévy generators and application to financial optimization |
scientific article |
Statements
Stochastic control of SDEs associated with Lévy generators and application to financial optimization (English)
0 references
26 February 2010
0 references
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.
0 references
Levy generators
0 references
jump type stochastic differential equation
0 references
optimal control
0 references
maximum principle
0 references
portfolio optimization
0 references
0 references
0 references
0 references
0 references
