Exploring Optimisation Strategies Under Jump-Diffusion Dynamics

Exploring Optimisation Strategies Under Jump-Diffusion Dynamics

This paper addresses the portfolio optimisation problem within the jump-diffusion stochastic differential equations (SDEs) framework. We begin by recalling a fundamental theoretical result concerning the existence of solutions to the Black–Scholes–Merton partial differential equation (PDE), which se...

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Bibliographic Details
Main Authors: Luca Di Persio, Nicola Fraccarolo
Format: Article
Language:English
Published: MDPI AG 2025-02-01
Series:Mathematics
Subjects:
portfolio optimisation
merton problem
optimal allocation strategies
jump-diffusion stochastic differential equations
Lévy processes
verification theorem
Online Access:https://www.mdpi.com/2227-7390/13/3/535
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