A RISK-SENSITIVE STOCHASTIC MAXIMUM PRINCIPLE FOR OPTIMAL CONTROL OF JUMP DIFFUSIONS AND ITS APPLICATIONS |
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Authors: | Shi Jingtao Wu Zhen School of Mathematics Sh ong University Jinan China |
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Institution: | Shi Jingtao Wu Zhen School of Mathematics,Shandong University,Jinan 250100,China |
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Abstract: | A stochastic maximum principle for the risk-sensitive optimal control problem of jump diffusion processes with an exponential-of-integral cost functional is derived assuming that the value function is smooth, where the diffusion and jump term may both depend on the control. The form of the maximum principle is similar to its risk-neutral counterpart. But the adjoint equations and the maximum condition heavily depend on the risk-sensitive parameter. As applications, a linear-quadratic risk-sensitive control ... |
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Keywords: | Risk-sensitive control jump diffusions maximum principle adjoint equation |
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