Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance

DOI10.1023/B:JOTA.0000026132.62934.96zbMath1140.93496OpenAlexW2056551289MaRDI QIDQ704754

Bernt Øksendal, Agnès Sulem, Nils Chr. Framstad

Publication date: 19 January 2005

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:jota.0000026132.62934.96

zbMATH Keywords

optimal controlstochastic programmingstructural optimizationexistence of solutionsequilibrium constraintsmean-variance portfolio selectionsufficient maximum principleBilevel programmingJump diffusionsstochastic Stackelberg games

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45)

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