Frontiers of Mathematics in China >

2010 , Vol. 5 >Issue 1: 89 - 102

DOI: https://doi.org/10.1007/s11464-009-0052-2

Research articles

Stochastic control of SDEs associated with Lévy generators and application to financial optimization

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  • Department of Mathematics, Swansea University, Singleton Park, Swansea SA2 8PP, UK;

Published date: 05 Mar 2010

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Abstract

This paper is concerned with the optimal control of jump type stochastic differential equations associated with (general) Lévy generators. The maximum principle is formulated for the solutions of the equations, which is inspired by N. C. Framstad, B. Øsendal and A. Sulem [J. Optim. Theory Appl., 2004, 121: 77―98] (and a continuation, J. Bennett and J. -L. Wu [Front. Math. China, 2007, 2(4): 539―558]). The result is then applied to optimization problems in financial models driven by Lévy-type processes.

Key words： Lévy generators; jump type stochastic differential equation; optimal control; maximum principle; portfolio optimization

Cite this article

Jonathan BENNETT, Jiang-Lun WU, . Stochastic control of SDEs associated with Lévy generators and application to financial optimization[J]. Frontiers of Mathematics in China, 2010 , 5(1) : 89 -102 . DOI: 10.1007/s11464-009-0052-2

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