A maximum principle for controlled stochastic factor model

DOI10.1051/COCV/2017053MaRDI QIDQ4554102zbMATH OpenOpenAlexFDO

Authors Virginie Konlack Socgnia, Olivier Menoukeu-Pamen

Publication date 7 November 2018

Published in ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1051/cocv/2017053

zbMATH Keywords

stochastic partial differential equationsstochastic maximum principleZakai equationstochastic factor model

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10) Optimality conditions for problems involving randomness (49K45) Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20)

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