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Optimal Control Problem Associated with Jump Processes · Study

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ArticleOptimal Control Problem Associated with Jump Processes

Yasushi Ishikawa2004

Article2004

Optimal Control Problem Associated with Jump Processes

Yasushi Ishikawa

33 citations·0/0 files stored·Applied Mathematics & Optimization

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Stochastic processes and financial applications Risk and Portfolio Optimization Probability and Risk Models

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References

1971Optimum consumption and portfolio rules in a continuous-time model 2005Stochastic Integration and Differential Equations 1980Controlled Diffusion Processes 1997Processes of normal inverse Gaussian type 1995Hyperbolic Distributions in Finance 1979Controlled Stochastic Processes 2001Application of Generalized Hyperbolic Lévy Motions to Finance 1997Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model

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Year2004

Typearticle

Published2004-04-19

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations33

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00245-004-0795-9

openalex_workW2017219760

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