Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model

DOI10.1137/110825881zbMath1291.35409arXiv1102.5126OpenAlexW1999768877MaRDI QIDQ2840144

Mark H. A. Davis, Sébastien Lleo

Publication date: 17 July 2013

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.5126

zbMATH Keywords

Lévy processesPoisson point processesclassical solutionsviscosity solutionsjump-diffusion processesparabolic PDErisk-sensitive stochastic controlasset managementpolicy improvementHJB PIDE

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Viscosity solutions to PDEs (35D40) Integro-partial differential equations (35R09)

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