Stochastic differential equations with polar-decomposed L関y measures and applications to stochastic optimization

doi:10.1007/s11464-007-0033-2

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Front. Math. China ›› 2007, Vol. 2 ›› Issue (4) : 539-558. DOI: 10.1007/s11464-007-0033-2

Stochastic differential equations with polar-decomposed L関y measures and applications to stochastic optimization

Jonathan Bennett, Jiang-Lun Wu

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Abstract

This paper is concerned with the optimal control of jump-type stochastic differential equations associated with polar-decomposed Lévy measures with the feature of explicit construction on the jump term. The concrete construction is then utilized for analysis of two portfolio optimization problems for ?nancial market models driven by stable-like processes.

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Jonathan Bennett, Jiang-Lun Wu. Stochastic differential equations with polar-decomposed L関y measures and applications to stochastic optimization. Front. Math. China, 2007, 2(4): 539‒558 https://doi.org/10.1007/s11464-007-0033-2