Essays about: "Itô-Lévy process"
Found 1 essay containing the words Itô-Lévy process.
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1. Deep learning for portfolio optimization
University essay from Linnéuniversitetet/Institutionen för matematik (MA)Abstract : In this thesis, an optimal investment problem is studied for an investor who can only invest in a financial market modelled by an Itô-Lévy process; with one risk free (bond) and one risky (stock) investment possibility. We present the dynamic programming method and the associated Hamilton-Jacobi-Bellman (HJB) equation to explicitly solve this problem. READ MORE
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