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

doi:10.1007/s11464-007-0033-2

Front. Math. China

2007, Vol. 2

Issue (4) : 539-558 https://doi.org/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

Department of Mathematics, University of Wales Swansea, Swansea SA2 8PP, UK;

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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.

Issue Date: 05 December 2007

Cite this article:

Jonathan Bennett,Jiang-Lun Wu. Stochastic differential equations with polar-decomposed L関y measures and applications to stochastic optimization[J]. Front. Math. China, 2007, 2(4): 539-558.

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https://academic.hep.com.cn/fmc/EN/10.1007/s11464-007-0033-2
https://academic.hep.com.cn/fmc/EN/Y2007/V2/I4/539

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