Stochastic control of SDEs associated with Lévy generators and application to financial optimization
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Publication:2266834
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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Cited in
(4)- Stochastic maximum principle with Lagrange multipliers and optimal consumption with Lévy wage
- Stochastic differential equations with polar-decomposed Lévy measures and applications to stochastic optimization
- An Optimal Control Problem Associated with SDEs Driven by Lévy-Type Processes
- Anticipative Stochastic Control for Lévy Processes With Application to Insider Trading
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