"Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor ..."

Mark Davis, Sébastien Lleo (2013)

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DOI: 10.1137/110825881

access: closed

type: Journal Article

metadata version: 2020-07-09

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Mark Davis, Sébastien Lleo:
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model. SIAM J. Control. Optim. 51(2): 1441-1480 (2013)

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