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

被引：111

作者：

Framstad, NC ^{[1
]}

Oksendal, B

Sulem, A

机构：

[1] Univ Oslo, Dept Math, Oslo, Norway

[2] Norwegian Sch Econ & Business Adm, N-5035 Bergen, Norway

[3] INRIA, Le Chesnay, France

来源：

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 2004年 / 121卷 / 01期

关键词：

jump diffusions; optimal control; sufficient maximum principle; mean-variance portfolio selection;

D O I：

10.1023/B:JOTA.0000026132.62934.96

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

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.

引用

页码：77 / 98

页数：22

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