A stochastic linear-quadratic problem with Lévy processes and its application to finance
- Author
- MITSUI, Ken-Ichi1 ; TABATA, Yoshio1
[1] Graduate School of Business Administration, Nanzan University, Japan - Source
Stochastic processes and their applications. 2008, Vol 118, Num 1, pp 120-152, 33 p ; ref : 25 ref
- CODEN
- STOPB7
- ISSN
- 0304-4149
- Scientific domain
- Computer science; Mathematics
- Publisher
- Elsevier Science, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Author keyword
- Linear-quadratic regulators; Lévy process; Backward stochastic (Riccati) differential equation; Regular and singular case primary 93E20; secondary 60H10; 91B28
- Keyword (fr)
- Application Commande optimale Equation différentielle stochastique rétrograde Existence solution Finance Martingale Problème sélection Processus Lévy Processus linéaire Processus stochastique Sélection portefeuille 60G48 62P05
- Keyword (en)
- Application Optimal control Backward stochastic differential equation Existence of solution Finance Martingale Selection problem Lévy process Linear process Stochastic process Portfolio selection
- Keyword (es)
- Aplicación Control óptimo Ecuación diferencial estocástica hacia atrás Existencia de solución Finanzas Martingale Problema selección Proceso Lévy Proceso lineal Proceso estocástico Selección cartera
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01H Stochastic processes
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01I Stochastic analysis
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02N Applications / 001A02H02N2 Insurance, economics, finance
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 19972959
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/j.spa.2007.03.011 
https://dx.doi.org/10.1016/j.spa.2007.03.011
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