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Extra info for SIAM Journal on Financial Mathematics Vol 2
Kijima, C. Hara, and K. , World Scientiﬁc, Singapore, 2010, pp. 1– 41.  M. H. A. Davis and S. Lleo, Jump-Diﬀusion Risk-Sensitive Asset Management II: Jump-Diﬀusion Factors, preprint, Imperial College London, London, England, 2010.  W. H. Fleming, Optimal investment models and risk-sensitive stochastic control, in Mathematical Finance, IMA Vol. Math. Appl. 65, Springer, Berlin, 1995, pp. 75–88.  W. H. Fleming and R. W. Rishel, Deterministic and Stochastic Optimal Control, Springer, Berlin, New York, 1975.
T ˜ k |1+μ is ˜ ∈ C 1,2 (QR ). 3: Proving that Φ QR bounded for μ > 0, which implies that η > n + 2. 12) ˜ k+1 + θg(t, x, hk ) Φ ˜k − Φ ˜ k+1 ˜ k − DΦ + f (x, hk )T D Φ for any admissible control h. e. in QR . Copyright © by SIAM. Unauthorized reproduction of this article is prohibited. 1 of Fleming and Rishel , we see that there exists a Borel measurable function h∗ from (0, T ) × BR into J (in fact J ) such that ˜ + θg(t, x, h∗ )Φ ˜ = inf f (x, h∗ )T D Φ ˜ + θg(t, x, h)Φ ˜ f (x, h)T D Φ h∈J holds for almost all (t, x) ∈ (0, T ) × BR .
17). More2. 2). over, Φ 3. 14). Moreover, Φ is convex in its argument x. Proof. The proof is based on a series of results proved in sections 5–7. These combine to give us the following arguments. Existence of an optimal control. 12) admits a unique Borel measurable maximizer. 1). Thus, we can take this maximizer as our optimal asset allocation. ˜ is a C 1,2 ([0, T ] × Rn ) solution Existence of a classical (C 1,2 ) solution. 17). Uniqueness of the classical solution. The existence of zero beta policies enable us to deduce ˜ is bounded.