A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications

Acta Mathematica Scientia

Volumn 31, Issue 2, 2011, Pages 419-433

  Jingtao, Shi ^a   Zhen, Wu ^a  

^a SHANDONG UNIVERSITY   (China)

Author keywords

Adjoint equation; Jump diffusions; Maximum principle; Risk sensitive control

Indexed keywords

EID: 79952161319     PISSN: 02529602     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0252-9602(11)60242-7     Document Type: Article

References (14)

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