Stochastic differential equations with polar-decomposed Lévy measures and applications to stochastic optimization

Jonathan Bennett, Jiang-Lun Wu

Type: Article

Publication Date: 2007-10-01

Citations: 4

DOI: https://doi.org/10.1007/s11464-007-0033-2

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Locations

Frontiers of Mathematics in China - View

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Works That Cite This (4)

Action	Title	Year	Authors
+	Stochastic control of SDEs associated with Lévy generators and application to financial optimization	2009	Jonathan Bennett Jiang-Lun Wu
+	Nonlinear Markov Processes and Kinetic Equations	2010	Vassili N. Kolokoltsov
+	Anticipating Linear Stochastic Differential Equations Driven by a L\'{e}vy Process	2012	Jorge A. León David Márquez‐Carreras Josep Vives
+ PDF Chat	Anticipating linear stochastic differential equations driven by a Lévy process	2012	Jorge A. León David Márquez‐Carreras Josep Vives

Works Cited by This (16)

Action	Title	Year	Authors
+ PDF Chat	Uniqueness in law for pure jump Markov processes	1988	Richard F. Bass
+	Stochastic processes and semigroups associated with degenerate lévy generating operators	1989	Akira Egoro Masaaki Tsuchiya
+	On the Factorization of Non-Negative Definite Matrices	1968	Mark Freidlin
+ PDF Chat	Pseudo Differential Operators and Markov Processes	2005	Niels Jacob
+ PDF Chat	Diffusion processes associated with L�vy generators	1975	Daniel W. Stroock
+	Lévy measure with generalized polar decomposition and the associated sde with jumps	1992	Masaaki Tsuchiya
+	User’s guide to viscosity solutions of second order partial differential equations	1992	Michael G. Crandall Hitoshi Ishii Pierre-Louis Lions
+ PDF Chat	Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance	2004	Nils Christian Framstad Bernt Øksendal Agnès Sulem
+ PDF Chat	A “maximum principle for semicontinuous functions” applicable to integro-partial differential equations	2006	Espen R. Jakobsen Kenneth H. Karlsen
+	Symmetric Stable Laws and Stable-Like Jump-Diffusions	2000	Vassili N. Kolokoltsov