Maximum principles for jump diffusion processes with infinite horizon (Q2356691)

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scientific article
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Maximum principles for jump diffusion processes with infinite horizon
scientific article

    Statements

    title
    Maximum principles for jump diffusion processes with infinite horizon (English)
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    author
    Sven Haadem
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    Bernt Øksendal
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    Frank Norbert Proske
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    published in
    Automatica
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    publication date
    6 June 2017
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    zbMATH Keywords
    optimal control
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    Lévy processes
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    maximum principle
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    Hamiltonian
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    infinite horizon
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    adjoint process
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    partial information
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    Identifiers

    Mathematics Subject Classification ID
    93E20
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    49K45
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    93C41
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    zbMATH DE Number
    6725761
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    OpenAlex ID
    W2168600615
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    arXiv ID
    1206.1719
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