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

DOI10.1007/s11464-009-0052-2zbMath1189.60151OpenAlexW2109871320MaRDI QIDQ2266834

Jonathan Bennett, Jiang-Lun Wu

Publication date: 26 February 2010

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-009-0052-2

zbMATH Keywords

optimal controlmaximum principleportfolio optimizationjump type stochastic differential equationLevy generators

Mathematics Subject Classification ID

Cites Work

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