Stochastic control for diffusions with self-exciting jumps: An overview
Author:
Affiliation:
1. emlyon business school, France
Publisher
American Institute of Mathematical Sciences (AIMS)
Reference16 articles.
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3.
A. Bensoussan and J.-L. Lions, Impulse Control and Quasi-Variational Inequalities, North Holland, 1984.
4. B. Bian, X. Chen and X. Zeng, Optimal portfolio choice in a jump-diffusion model with self-exciting, Journal of Mathematical Finance, 09 (2019).
B. Bian, X. Chen and X. Zeng, Optimal portfolio choice in a jump-diffusion model with self-exciting, Journal of Mathematical Finance, 09 (2019).
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R. Cont and P. Tankov, Financial Modelling with Jump Processes, Chapman & Hall/CRC Financial Mathematics Series. Chapman & Hall/CRC, Boca Raton, FL, 2004.
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