Control improvement for jump-diffusion processes with applications to finance

DOI10.1007/S00245-011-9141-1zbMath1242.93141OpenAlexW1985648524MaRDI QIDQ434360

Nicole Bäuerle, Ulrich Rieder

Publication date: 10 July 2012

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://publikationen.bibliothek.kit.edu/1000032857/3282658

zbMATH Keywords

portfolio optimizationcontrol improvementjump-diffusion processCRRA-utility functions

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Cognitive psychology (91E10)

Related Items (2)

Exponential Convergence and Stability of Howard's Policy Improvement Algorithm for Controlled Diffusions ⋮ Optimal investment under transaction costs for an insurer

Cites Work

• Applied stochastic control of jump diffusions.
• Continuous-time stochastic control and optimization with financial applications
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