Jump-diffusion risk-sensitive asset management. II: Jump-diffusion factor model (Q2840144)
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scientific article; zbMATH DE number 6188902
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Jump-diffusion risk-sensitive asset management. II: Jump-diffusion factor model |
scientific article; zbMATH DE number 6188902 |
Statements
17 July 2013
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asset management
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risk-sensitive stochastic control
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jump-diffusion processes
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Poisson point processes
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Lévy processes
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HJB PIDE
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policy improvement
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parabolic PDE
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classical solutions
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viscosity solutions
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Jump-diffusion risk-sensitive asset management. II: Jump-diffusion factor model (English)
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