Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance (Q704754)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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