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.
RedirectionBot (talk | contribs)
Removed claim: author (P16): Item:Q193741
Property / author
 
Property / author: Nils Chr. Framstad / rank
Normal 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
    0 references
    0 references
    19 January 2005
    0 references
    0 references
    0 references
    0 references
    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