Stochastic differential equations with polar-decomposed Lévy measures and applications to stochastic optimization

DOI10.1007/S11464-007-0033-2MaRDI QIDQ2477579zbMATH OpenOpenAlexFDO

Authors Jonathan Bennett, Jiang-Lun Wu

Publication date 14 March 2008

Published in Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11464-007-0033-2

zbMATH Keywords

portfolio optimizationstable-like processesjump-type stochastic differential equationspolar decomposition of Lévy measures

Mathematics Subject Classification ID

Stable stochastic processes (60G52) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Recommendations

• Stochastic control of SDEs associated with Lévy generators and application to financial optimization
• Linear quadratic stochastic optimal control of forward backward stochastic control system associated with Lévy process
• An Optimal Control Problem Associated with SDEs Driven by Lévy-Type Processes
• Maximum principles for optimal control of forward-backward stochastic differential equations with jumps
• Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes

Cites work

• scientific article; zbMATH DE number 1642334 (Why is no real title available?)
• scientific article; zbMATH DE number 1807482 (Why is no real title available?)
• scientific article; zbMATH DE number 3702538 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 1304732 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 2189175 (Why is no real title available?)
• scientific article; zbMATH DE number 3261898 (Why is no real title available?)
• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• A ``maximum principle for semicontinuous functions applicable to integro-partial differential equations
• Applied stochastic control of jump diffusions.
• Continuous dependence estimates for viscosity solutions of integro-PDEs
• Diffusion processes associated with L�vy generators
• Invariant measures and symmetry property of Lévy type operators
• Lévy measure with generalized polar decomposition and the associated sde with jumps
• Markov Processes from K. Ito's Perspective (AM-155)
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• On a Formula Concerning Stochastic Differentials
• On the Factorization of Non-Negative Definite Matrices
• Optimal control problem associated with jump processes
• Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
• Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
• Optimization of consumption with labor income
• Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs
• Pseudo differential operators and Markov processes. In 3 vol. Vol. 1: Fourier analysis and semigroups
• Repr�sentation des processus ponctuels multivari�s � l'aide d'un processus de Poisson
• Stochastic processes and semigroups associated with degenerate lévy generating operators
• Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
• Symmetric Stable Laws and Stable-Like Jump-Diffusions
• Uniqueness in law for pure jump Markov processes
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(1)

• Stochastic control of SDEs associated with Lévy generators and application to financial optimization

This page was built for publication: Stochastic differential equations with polar-decomposed Lévy measures and applications to stochastic optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2477579)