The optimal control of a Lévy process
In this thesis we study the optimal stochastic control problem of the drift of a Lévy process. We show that, for a broad class of Lévy processes, the partial integro-differential Hamilton-Jacobi-Bellman equation for the value function admits classical solutions and that control policies exist in fee...
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| Format: | Others |
| Language: | English |
| Published: |
2009
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| Online Access: | http://hdl.handle.net/2152/6652 |