Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance (Q704754): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q193741 |
||
Property / author | |||
Property / author: Nils Chr. Framstad / rank | |||
Revision as of 17:29, 10 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance |
scientific article |
Statements
Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance (English)
0 references
19 January 2005
0 references
Jump diffusions
0 references
optimal control
0 references
sufficient maximum principle
0 references
mean-variance portfolio selection
0 references
Bilevel programming
0 references
equilibrium constraints
0 references
stochastic programming
0 references
existence of solutions
0 references
stochastic Stackelberg games
0 references
structural optimization
0 references