Variational equality and portfolio optimization for price processes with jumps

zbMATH Open1191.91056MaRDI QIDQ5486565FDOQ5486565

Hiroshi Kunita

Publication date: 11 September 2006

Full work available at URL: http://ebooks.worldscinet.com/ISBN/9789812702852/9789812702852_0009.html

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Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Cited In (6)

• Wealth optimization and dual problems for jump stock dynamics with stochastic factor
• Approximation for portfolio optimization in a financial market with shot-noise jumps
• Optimal portfolios in Lévy markets under state-dependent bounded utility functions
• Optimal portfolio application with double-uniform jump model
• Optimal portfolio for an insider in a market driven by Lévy processes§
• Stochastic variational inequalities and optimal stopping: applications to the robustness of the portfolio/consumption processes

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