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Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model
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Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model (2013)Jump-Diffusion Risk-Sensitive Asset Manag…Weak Dynamic Programming Principle for Viscosity Solutions (2011)Weak Dynamic Programming Prin…Impulse Control of Multidimensional Jump Diffusions (2010)Impulse Control of Multidimen…Equivalent and absolutely continuous measure changes for jump-diffusion processes (2005)Equivalent and absolutely con…Risk-sensitive portfolio optimization on infinite time horizon (2002)Risk-sensitive portfolio opti…Risk-Sensitive Dynamic Asset Management (1999)Risk-Sensitive Dynamic Asset …Credit portfolio selection with decaying contagion intensities (2018)Credit portfolio selection wi…Partial information about contagion risk, self-exciting processes and portfolio optimization (2013)Partial information about con…Stochastic controls : Hamiltonian systems and HJB equations (1999)Applied Stochastic Control of Jump Diffusions (2005)Controlled Markov Processes and Viscosity Solutions (2005)Stochastic Partial Differential Equations and Portfolio Choice (2010)Optimal Control of Trading Algorithms: A General Impulse Control Approach (2011)Optimal transportation under controlled stochastic dynamics (2013)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Brownian Motion and Stochastic Calculus (1988)Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models (2003)Brownian Motion and Stochastic Calculus (2007)Risk-sensitive benchmarked asset management (2008)Portfolios and risk premia for the long run (2012)Optimum consumption and portfolio rules in a continuous-time model (1971)Controlled Diffusion Processes (1980)Risk‐Sensitive Control and an Optimal Investment Model (2000)Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach (2006)Option Pricing With Markov-Modulated Dynamics (2006)Stochastic Differential Equations and Diffusion Processes (1983)Financial Modelling with Jump Processes (2003)Optimal Dividend Policies with Transaction Costs for a Class of Diffusion Processes (2010)Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model (2011)Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach (2013)A Theory of the Term Structure of Interest Rates (1985)Continuous Martingales and Brownian Motion (1999)Limit Theorems for Stochastic Processes (2003)Exponentially affine martingales, affine measure changes and exponential moments of affine processes (2009)On strong solutions for positive definite jump diffusions (2011)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Brownian Motion and Stochastic Calculus (1998)On cox processes and credit risky securities (1998)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)
this work references cited by second hop

References

  • 1999Risk-Sensitive Dynamic Asset Management290 cited
  • 2011Weak Dynamic Programming Principle for Viscosity Solutions190 cited
  • 2002Risk-sensitive portfolio optimization on infinite time horizon95 cited
  • 2005Equivalent and absolutely continuous measure changes for jump-diffusion processes95 cited
  • 2010Impulse Control of Multidimensional Jump Diffusions69 cited

Cited by

  • 2013Partial information about contagion risk, self-exciting processes and portfolio optimization22 cited
  • 2018Credit portfolio selection with decaying contagion intensities21 cited

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