Department of Mathematics, Tongji University, Shanghai, China
Department of Mathematics, University of Pittsburgh, Pittsburgh, PA, USA
School of Finance, Shanghai University of Finance and Economics, Shanghai, China
Copyright © 2019 Baojun Bian, Xinfu Chen, Xudong Zeng et al. This is
an open access article distributed under the Creative Commons Attribution
License, which permits unrestricted use, distribution, and reproduction in any
medium, provided the original work is properly cited.
How to Cite this Article
Bian, B. , Chen, X. and Zeng, X. (2019) Optimal Portfolio Choice in a Jump-Diffusion Model with Self-Exciting.
Journal of Mathematical Finance,
9, 345-367. doi:
10.4236/jmf.2019.93020.