Numerical Methods

Mark H. A. Davis and Sebastien Lleo

Chapter 14 in Risk-Sensitive Investment Management, 2014, pp 349-365 from World Scientific Publishing Co. Pte. Ltd.

Abstract: An important feature of the diffusion-based models presented in Part I is that they can be solved analytically, and as such do not require additional work to get the optimal investment strategy and the value function (aside from solving a Riccati equation and a linear ODE)…

Keywords: Stochastic Control; Risk Sensitive Control; Dynamic Investment Management; Benchmarked Asset Management; Asset and Liability Management; Jump Diffusion Processes; Lévy Processes; Hamilton–Jacobi–Bellman Equations; Classical Solutions; Viscosity Solutions; Kelly Criterion (search for similar items in EconPapers)
Date: 2014
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