A stochastic maximum principle for systems with jumps, with applications to finance.

DOI10.1016/S0167-6911(02)00231-1zbMath1106.93342MaRDI QIDQ1853443

Abel Cadenillas

Publication date: 21 January 2003

Published in: Systems \& Control Letters (Search for Journal in Brave)

zbMATH Keywords

Convex analysisStochastic controlBackward stochastic differential equationsAdjoint equationConsumption--investment problemStochastic maximum principle

Mathematics Subject Classification ID

Economic growth models (91B62) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45)

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Cites Work

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• Optimal portfolio for a small investor in a market model with discontinuous prices
• Optimal control of a jump process
• Optimal Control of Jump Processes
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients
• The stochastic maximum principle for a singular control problem

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