Stochastic differential equations with polar-decomposed Lévy measures and applications to stochastic optimization

doi:10.1007/s11464-007-0033-2

科研成果详情

发表状态	已发表Published
题名	Stochastic differential equations with polar-decomposed Lévy measures and applications to stochastic optimization
作者	Bennett, Jonathan; Wu, Jianglun
发表日期	2007
发表期刊	Frontiers of Mathematics in China
ISSN/eISSN	1673-3452
卷号	2 期号:4 页码:539-558
摘要	This paper is concerned with the optimal control of jump-type stochastic differential equations associated with polar-decomposed Lévy measures with the feature of explicit construction on the jump term. The concrete construction is then utilized for analysis of two portfolio optimization problems for financial market models driven by stable-like processes. © 2007 Higher Education Press and Springer-Verlag.
关键词	Jump-type stochastic differential equations Polar decomposition of Lévy measures Portfolio optimization Stable-like processes
DOI	10.1007/s11464-007-0033-2
URL	查看来源
语种	英语English
Scopus入藏号	2-s2.0-35348899631
引用统计	被引频次[WOS]：0 [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/10534
专题	个人在本单位外知识产出
作者单位	Department of Mathematics,University of Wales Swansea,Swansea SA2 8PP,United Kingdom
推荐引用方式 GB/T 7714	Bennett, Jonathan,Wu, Jianglun. Stochastic differential equations with polar-decomposed Lévy measures and applications to stochastic optimization[J]. Frontiers of Mathematics in China, 2007, 2(4): 539-558.
APA	Bennett, Jonathan, & Wu, Jianglun. (2007). Stochastic differential equations with polar-decomposed Lévy measures and applications to stochastic optimization. Frontiers of Mathematics in China, 2(4), 539-558.
MLA	Bennett, Jonathan,et al."Stochastic differential equations with polar-decomposed Lévy measures and applications to stochastic optimization". Frontiers of Mathematics in China 2.4(2007): 539-558.