A stochastic maximum principle for systems with jumps, with applications to finance. (Q1853443)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic maximum principle for systems with jumps, with applications to finance. |
scientific article |
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A stochastic maximum principle for systems with jumps, with applications to finance. (English)
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21 January 2003
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Stochastic maximum principle
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Convex analysis
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Stochastic control
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Backward stochastic differential equations
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Adjoint equation
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Consumption--investment problem
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