An optimal control problem associated with sdes driven by Lévy-type processes

doi:10.1080/07362990802007004

Details of Research Outputs

Status	已发表Published
Title	An optimal control problem associated with sdes driven by Lévy-type processes
Creator	Bennett, Jonathan 1; Wu, Jianglun1,2
Date Issued	2008
Source Publication	Stochastic Analysis and Applications
ISSN	0736-2994
Volume	26 Issue:3 Pages:471-494
Abstract	In this article, we consider an optimal control problem associated with jump type stochastic differential equations driven by Lévy-type processes. The problem arises from portfolio optimization for the pair of the wealth process and the cumulative consumption process in (incomplete) financial market models. We establish the existence and the uniqueness of (constrained) viscosity solutions to the associated the integro-differential Hamilton-Jacobi-Bellman equation. Copyright © Taylor & Francis Group, LLC.
Keyword	Jump type stochastic differential equations Lévy generators Optimal control problem Viscosity solution
DOI	10.1080/07362990802007004
URL	View source
Indexed By	SCIE
Language	英语English
WOS Research Area	Mathematics
WOS Subject	Mathematics, Applied ; Statistics & Probability
WOS ID	WOS:000256056200003
Scopus ID	2-s2.0-45749111085
Citation statistics	Cited Times:5[WOS] [WOS Record] [Related Records in WOS]
Document Type	Journal article
Identifier	http://repository.uic.edu.cn/handle/39GCC9TT/10533
Collection	Research outside affiliated institution
Affiliation	1.Department of Mathematics,University of Wales Swansea,Swansea,United Kingdom 2.Department of Mathematics,Swansea University,Singleton Park,Swansea SA2 8PP,United Kingdom
Recommended Citation GB/T 7714	Bennett, Jonathan,Wu, Jianglun. An optimal control problem associated with sdes driven by Lévy-type processes[J]. Stochastic Analysis and Applications, 2008, 26(3): 471-494.
APA	Bennett, Jonathan, & Wu, Jianglun. (2008). An optimal control problem associated with sdes driven by Lévy-type processes. Stochastic Analysis and Applications, 26(3), 471-494.
MLA	Bennett, Jonathan,et al."An optimal control problem associated with sdes driven by Lévy-type processes". Stochastic Analysis and Applications 26.3(2008): 471-494.

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