Stochastic differential equations with polar-decomposed Lévy measures and applications to stochastic optimization

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 financial market models driven by stable-like processes.

Keywords

Jump-type stochastic differential equations / polar decomposition of Lévy measures / stable-like processes / portfolio optimization

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