Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/07362994.2012.727138
Reference28 articles.
1. Optimal Control of Partially Observable Stochastic Systems with an Exponential-of-Integral Performance Index
2. Risk-Sensitive Dynamic Asset Management
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4. Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model
5. Davis , M. , and Lleo , S. 2011 . Jump-diffusion risk-sensitive asset management II: Jump-diffusion factor model. Available from http://arxiv.org/abs/1102.5126v1.q-fin.PM
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