Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor
  Model   In this article we extend earlier work on the jump-diffusion risk-sensitive
asset management problem [SIAM J. Fin. Math. (2011) 22-54] by allowing jumps in
both the factor process and the asset prices, as well as stochastic volatility
and investment constraints. In this case, the HJB equation is a partial
integro-differential equation (PIDE). By combining viscosity solutions with a
change of notation, a policy improvement argument and classical results on
parabolic PDEs we prove that the HJB PIDE admits a unique smooth solution. A
verification theorem concludes the resolution of this problem.

24
The categories of this paper are: dg-ga
32
The categories of this paper are: atom-ph
35
The categories of this paper are: mtrl-th
7
The categories of this paper are: hep-th
19
The categories of this paper are: eess
4
The categories of this paper are: cond-mat
5
The categories of this paper are: gr-qc
0
The categories of this paper are: hep-ph
15
The categories of this paper are: nucl-ex
10
The categories of this paper are: q-bio
9
The categories of this paper are: nlin
29
The categories of this paper are: funct-an
37
The categories of this paper are: supr-con
12
The categories of this paper are: nucl-th
33
The categories of this paper are: plasm-ph
8
The categories of this paper are: hep-ex