Stochastic differential equations with polar-decomposed Lévy measures and applications to stochastic optimization
DOI10.1007/S11464-007-0033-2zbMATH Open1135.60324OpenAlexW1992523952MaRDI QIDQ2477579FDOQ2477579
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
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
portfolio optimizationstable-like processesjump-type stochastic differential equationspolar decomposition of Lévy measures
Stable stochastic processes (60G52) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
Cites Work
- Title not available (Why is that?)
- On a Formula Concerning Stochastic Differentials
- Continuous dependence estimates for viscosity solutions of integro-PDEs
- Title not available (Why is that?)
- User’s guide to viscosity solutions of second order partial differential equations
- Diffusion processes associated with L�vy generators
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
- Pseudo differential operators and Markov processes. In 3 vol. Vol. 1: Fourier analysis and semigroups
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Uniqueness in law for pure jump Markov processes
- Symmetric Stable Laws and Stable-Like Jump-Diffusions
- Applied stochastic control of jump diffusions.
- Invariant measures and symmetry property of Lévy type operators
- Optimal control problem associated with jump processes
- Markov Processes from K. Ito's Perspective (AM-155)
- Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs
- Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
- A ``maximum principle for semicontinuous functions applicable to integro-partial differential equations
- Lévy measure with generalized polar decomposition and the associated sde with jumps
- Optimization of consumption with labor income
- Title not available (Why is that?)
- Title not available (Why is that?)
- Stochastic processes and semigroups associated with degenerate lévy generating operators
- Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
- Repr�sentation des processus ponctuels multivari�s � l'aide d'un processus de Poisson
- Title not available (Why is that?)
- On the Factorization of Non-Negative Definite Matrices
- Title not available (Why is that?)
Cited In (1)
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)