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Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach
Asset management risk-sensitive stochastic control jump diffusion processes Poissonpoint processes Levy processes HJBPDE policy mprovement
2010/4/27
In this paper, we extend the jump-diffusion model proposed by Davis and Lleo to include jumps in asset prices as well as valuation factors. The criterion, following earlier work by Bielecki, Pliska, N...
Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control Poisson point processes HJBPIDE polic improvement PIDE parabolic PDE classical solutions viscosity solutions
2010/4/27
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatil...
Securities Pricing with Information-Sensitive Discounting
Asset pricing incomplete information stochastic interest rates credi trisk recovery models credit-ination hybrid securities information-sensitive pricing kernels
2010/4/27
In this paper incomplete-information models are developed for the pricing of securities in a stochastic interest rate setting. In particular we consider credit-risky assets that may include random rec...
Risk-sensitive control for systems with input delays
Risk-sensitive control Time-delay systems Asymptotic limits
2010/9/14
The partially observed risk-sensitive optimal stochastic control of a system with multiple time-delays in input, which minimizes the expected value of an exponential cost criterion, is considered. The...
Estimation of sensitive multi-characters using unknown value of unrelated question
Total estimation RRT Sensitive Multi-characteristics
2010/9/15
The confidence of the respondent to answer sensitive questions is more,if one of the two questions belongs to non-sensitive attribute unrelated to sensitive characteristics Greenberg et al.[2]. Seeing...