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scientific article; zbMATH DE number 6296770 - MaRDI portal

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zbMath1292.91159MaRDI QIDQ5416123

Mark H. A. Davis, Sébastien Lleo

Publication date: 19 May 2014

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Lévy processes Poisson point processes benchmarks classical solutions viscosity solutions jump-diffusion processes parabolic PDE risk-sensitive stochastic control asset management policy improvement Hamilton-Jacobi-Bellman partial integro-differential equation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) 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) Integro-partial differential equations (35R09)

Related Items (1)

Jump-diffusion asset-liability management via risk-sensitive control

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