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Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control Poisson point processes HJBPIDE polic improvement PIDE parabolic PDE classical solutions viscosity solutions
2010/4/27
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatil...