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

jump-type stochastic differential equationspolar decomposition of Lévy measuresportfolio optimizationstable-like processes

Mathematics Subject Classification ID

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

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Cited in

(2)

• Stochastic control of SDEs associated with Lévy generators and application to financial optimization
• Lévy measure with generalized polar decomposition and the associated sde with jumps

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