Optimal control problem associated with jump processes

被引：20

作者：

Ishikawa, Y ^{[1
]}

机构：

[1] Ehime Univ, Fac Sci, Dept Math, Matsuyama, Ehime 7908577, Japan

来源：

APPLIED MATHEMATICS AND OPTIMIZATION | 2004年 / 50卷 / 01期

关键词：

stochastic control of jump type; mathematical finance; viscosity solution of PDE;

D O I：

10.1007/s00245-004-0795-9

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

An optimal portfolio/control problem is considered for a two-dimensional model in finance. A pair consisting of the wealth process and cumulative consumption process driven by a geometric Levy process is controlled by adapted processes. The value function appears and turns out to be a viscosity solution to some integro-differential equation, by using the Bellman principle.

引用

页码：21 / 65

页数：45

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