Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance (Q704754): Difference between revisions

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Latest revision as of 17:36, 7 June 2024

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Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
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    Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance (English)
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    19 January 2005
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    Jump diffusions
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    optimal control
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    sufficient maximum principle
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    mean-variance portfolio selection
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    Bilevel programming
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    equilibrium constraints
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    stochastic programming
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    existence of solutions
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    stochastic Stackelberg games
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    structural optimization
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