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

doi:10.1007/s11464-009-0052-2

科研成果详情

发表状态	已发表Published
题名	Stochastic control of SDEs associated with Lévy generators and application to financial optimization
作者	Bennett, Jonathan; Wu, Jianglun
发表日期	2010
发表期刊	Frontiers of Mathematics in China
ISSN/eISSN	1673-3452
卷号	5 期号:1 页码:89-102
摘要	This paper is concerned with the optimal control of jump type stochastic differential equations associated with (general) Lévy generators. The maximum principle is formulated for the solutions of the equations, which is inspired by N. C. Framstad, B. Øksendal and A. Sulem [J. Optim. Theory Appl., 2004, 121: 77-98] (and a continuation, J. Bennett and J. -L. Wu [Front. Math. China, 2007, 2(4): 539-558]). The result is then applied to optimization problems in financial models driven by Lévy-type processes. © Higher Education Press and Springer Berlin Heidelberg 2009.
关键词	Jump type stochastic differential equation Lévy generators Maximum principle Optimal control Portfolio optimization
DOI	10.1007/s11464-009-0052-2
URL	查看来源
收录类别	SCIE
语种	英语English
WOS研究方向	Mathematics
WOS类目	Mathematics
WOS记录号	WOS:000273479500008
Scopus入藏号	2-s2.0-73649090340
引用统计	被引频次：1[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	https://repository.uic.edu.cn/handle/39GCC9TT/10530
专题	个人在本单位外知识产出
作者单位	Department of Mathematics,Swansea University,Singleton Park,Swansea SA2 8PP,United Kingdom
推荐引用方式 GB/T 7714	Bennett, Jonathan,Wu, Jianglun. Stochastic control of SDEs associated with Lévy generators and application to financial optimization[J]. Frontiers of Mathematics in China, 2010, 5(1): 89-102.
APA	Bennett, Jonathan, & Wu, Jianglun. (2010). Stochastic control of SDEs associated with Lévy generators and application to financial optimization. Frontiers of Mathematics in China, 5(1), 89-102.
MLA	Bennett, Jonathan,et al."Stochastic control of SDEs associated with Lévy generators and application to financial optimization". Frontiers of Mathematics in China 5.1(2010): 89-102.