A maximum principle for stochastic control with partial information

Stochastic Analysis and Applications

Volumn 25, Issue 3, 2007, Pages 705-717

  Baghery, Fouzia ^a   Øksendal, Bernt ^b,c  

^a Université de Valenciennes et du Hainaut Cambrésis   (France)

^b UNIVERSITY OF OSLO   (Norway)

^c NORWEGIAN SCHOOL OF ECONOMICS   (Norway)

Author keywords

Controlled jump diffusions; L vy processes; Maximum principle; Partial information; Stochastic control

Indexed keywords

EID: 34248358218     PISSN: 07362994     EISSN: 15329356     Source Type: Journal    
DOI: 10.1080/07362990701283128     Document Type: Article

References (7)

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3. Framstad, N., Øksendal, B., and Sulem, A. 2004. Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance. J. Optim. Theory Appl. 121(1):77-98. [Errata. 2005. 124(2):511-512.]
4. Jin, H., and Zhou, X. 2005. Continuous time Markowitz's problems in an incomplete market, with constrained portfolios. Manuscript.
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6. Øksendal, B., and Sulem, A. 2007. Applied Stochastic Control of Jump Diffusions. 2nd edition. Springer-Verlag, Berlin.
7. Tang, S. 1998. The maximum principle for partially observed optimal control of stochastic differential equations. SIAM J. Control Optimi. 36(5):1596-1617.