A stochastic maximum principle for systems with jumps, with applications to finance

Systems and Control Letters

Volumn 47, Issue 5, 2002, Pages 433-444

  Cadenillas, Abel ^a  

^a UNIVERSITY OF ALBERTA   (Canada)

Author keywords

Adjoint equation; Backward stochastic differential equations; Consumption investment problem; Convex analysis; Stochastic control; Stochastic maximum principle

Indexed keywords

DIFFERENTIAL EQUATIONS; INVESTMENTS; LINEAR CONTROL SYSTEMS; PROBLEM SOLVING; RANDOM PROCESSES; THEOREM PROVING;

STOCHASTIC DIFFERENTIAL EQUATIONS;

STOCHASTIC CONTROL SYSTEMS;

EID: 0037121523     PISSN: 01676911     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6911(02)00231-1     Document Type: Article

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