Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/110825881
Reference13 articles.
1. Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
2. Risk-Sensitive Dynamic Asset Management
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5. User’s guide to viscosity solutions of second order partial differential equations
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