Maximum principles for jump diffusion processes with infinite horizon

DOI10.1016/J.AUTOMATICA.2013.04.011zbMath1364.93861arXiv1206.1719OpenAlexW2168600615MaRDI QIDQ2356691

Sven Haadem, Frank Norbert Proske, Bernt Øksendal

Publication date: 6 June 2017

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.1719

zbMATH Keywords

optimal controlmaximum principleinfinite horizonLévy processesHamiltonianpartial informationadjoint process

Mathematics Subject Classification ID

Control/observation systems with incomplete information (93C41) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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• Necessary Conditions for Optimal Control Problems with Infinite Horizons
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Financial Modelling with Jump Processes
• Applied stochastic control of jump diffusions

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