Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance

Journal of Optimization Theory and Applications

Volumn 121, Issue 1, 2004, Pages 77-98

  Framstad, N C ^a   Oksendal B ^a,b   Sulem, A ^c  

^a UNIVERSITY OF OSLO   (Norway)

^b NORWEGIAN SCHOOL OF ECONOMICS   (Norway)

^c INRIA   (France)

Author keywords

Jump diffusions; Mean variance portfolio selection; Optimal control; Sufficient maximum principle

Indexed keywords

DIFFUSION; DYNAMIC PROGRAMMING; STOCHASTIC SYSTEMS;

CONDITION; GENERALISATION; JUMP-DIFFUSION; MEAN-VARIANCE PORTFOLIO SELECTION; MEAN-VARIANCE PORTFOLIOS; OPTIMAL CONTROLS; PORTFOLIO SELECTION; STOCHASTIC MAXIMUM PRINCIPLES; SUFFICIENT MAXIMUM PRINCIPLE; VERIFICATION THEOREM;

MAXIMUM PRINCIPLE;

EID: 4043087607     PISSN: 00223239     EISSN: None     Source Type: Journal    
DOI: 10.1023/B:JOTA.0000026132.62934.96     Document Type: Article

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