Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance

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.     

Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance

We correct Example 4.2 of Ref. 1.     

Portfolio separation properties of the skew-elliptical distributions, with generalizations

The two-fund separation property of the elliptical distributions is extended to the skew-elliptical case by adding a number of funds equaling the rank of the skewness matrix. The singular extended skew-elliptical distributions are covered, as is a further generalization to the case where the set conditioned upon is not an orthant.     

Arrow-Mangasarian Sufficient Conditions for Controlled Semimartingales

Abstract

This article shows a version of Arrow's generalization of Manga-sarian's sufficient conditions valid for controlled stochastic differential equations driven by semimartingales. The infinite horizon case is covered. An example is given.