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

DOI10.1137/090760180zbMath1217.91168arXiv1001.1379OpenAlexW2162815262MaRDI QIDQ3074984

Sébastien Lleo, Mark H. A. Davis

Publication date: 10 February 2011

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.1379

zbMATH Keywords

Lévy processesstochastic controlrisk-sensitive controljump-diffusion processespartial integro-differential equationpolicy improvementHamilton-Jacobi-Bellman partial differential equationlinear parabolic partial differential equation

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Portfolio theory (91G10)

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