Stochastic control of SDEs associated with L&#233;vy
generators and application to financial optimization

doi:10.1007/s11464-009-0052-2

Front. Math. China

2010, Vol. 5

Issue (1) : 89-102 https://doi.org/10.1007/s11464-009-0052-2

Research articles

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

Jonathan BENNETT,Jiang-Lun WU,

Department of Mathematics, Swansea University, Singleton Park, 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 (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.

Keywords Lévy generators jump type stochastic differential equation optimal control maximum principle portfolio optimization

Issue Date: 05 March 2010

Cite this article:

Jonathan BENNETT,Jiang-Lun WU. Stochastic control of SDEs associated with Lévy generators and application to financial optimization[J]. Front. Math. China, 2010, 5(1): 89-102.

URL:

https://academic.hep.com.cn/fmc/EN/10.1007/s11464-009-0052-2
https://academic.hep.com.cn/fmc/EN/Y2010/V5/I1/89

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