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

doi:10.1007/s11464-007-0033-2

Details of Research Outputs

Status	已发表Published
Title	Stochastic differential equations with polar-decomposed Lévy measures and applications to stochastic optimization
Creator	Bennett, Jonathan; Wu, Jianglun
Date Issued	2007
Source Publication	Frontiers of Mathematics in China
ISSN	1673-3452
Volume	2 Issue:4 Pages:539-558
Abstract	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.
Keyword	Jump-type stochastic differential equations Polar decomposition of Lévy measures Portfolio optimization Stable-like processes
DOI	10.1007/s11464-007-0033-2
URL	View source
Language	英语English
Scopus ID	2-s2.0-35348899631
Citation statistics	Cited Times [WOS]:0 [WOS Record] [Related Records in WOS]
Document Type	Journal article
Identifier	http://repository.uic.edu.cn/handle/39GCC9TT/10534
Collection	Research outside affiliated institution
Affiliation	Department of Mathematics,University of Wales Swansea,Swansea SA2 8PP,United Kingdom
Recommended Citation 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.

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