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math.OC2015
Game-theoretic approach to risk-sensitive benchmarked asset management
Amogh Deshpande, Saul D. Jacka
In this article we consider a game theoretic approach to the Risk-Sensitive Benchmarked Asset Management problem (RSBAM) of Davis and Lleo \cite{DL}. In particular, we consider a s…
math.OC2014★ 2 cited
Sufficient stochastic maximum principle for the optimal control of semi-Markov modulated jump-diffusion with application to Financial optimization
Amogh Deshpande
The finite state semi-Markov process is a generalization over the Markov chain in which the sojourn time distribution is any general distribution. In this article we provide a suff…