Risk-sensitive control for a class of non-linear systems and its financial applications
This thesis studies the risk-sensitive control problem for a class of non-linear stochastic systems and its financial applications. The nonlinearity is of the square- root type, and is inspired by applications. The problems of optimal investment and consumption are also considered under several diff...
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University of Liverpool
2015
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.706634 |