|
|||||
|
|
Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance |
|
| Authors: | Framstad N C Øksendal B Sulem A |
| Institution: | (1) Department of Mathematics, University of Oslo, Blindern, Oslo, Norway;(2) Department of Mathematics, University of Oslo, Blindern, Oslo, Norway;(3) Norwegian School of Economics and Business Administration, Bergen, Norway;(4) INRIA, Domaine de Voluceau, Rocquencourt, Le Chesnay, France |
| Abstract: | We give a verification theorem by employing Arrow's generalization of the Mangasarian sufficient condition to a general jump diffusion setting and show the connections of adjoint processes to dynamic programming. The result is applied to financial optimization problems. |
| Keywords: | Jump diffusions optimal control sufficient maximum principle mean-variance portfolio selection |
| 本文献已被 SpringerLink 等数据库收录！ | |