Wealth optimization and dual problems for jump stock dynamics with stochastic factor
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Publication:3080993
DOI10.1080/17442500903276334zbMATH Open1211.91255OpenAlexW1975243947MaRDI QIDQ3080993FDOQ3080993
Authors: Claudia Ceci, Anna Gerardi 
Publication date: 11 March 2011
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500903276334
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Utility theory (91B16) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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Cited In (6)
- Optimal proportional reinsurance and investment for stochastic factor models
- Stochastic control methods: Hedging in a market described by pure jump processes
- Wealth optimization in an incomplete market driven by a jump-diffusion process
- Sustainable management of fossil fuels: a dynamic stochastic optimization approach with jump-diffusion
- Optimization problem under change of regime of interest rate
- UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
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