Merton Investment Problems in Finance and Insurance for the Hawkes-Based Models

Merton Investment Problems in Finance and Insurance for the Hawkes-Based Models

We show how to solve Merton optimal investment stochastic control problem for Hawkes-based models in finance and insurance (Propositions 1 and 2), i.e., for a wealth portfolio <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semant...

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Bibliographic Details
Main Author: Anatoliy Swishchuk
Format: Article
Language:English
Published: MDPI AG 2021-06-01
Series:Risks
Subjects:
Merton investment problem
optimal control
Hawkes process
general compound Hawkes process
LLN and FCLT
risk process
Online Access:https://www.mdpi.com/2227-9091/9/6/108

Internet

https://www.mdpi.com/2227-9091/9/6/108

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