A stochastic maximum principle for CBI processes

DOI10.1080/07362994.2025.2542819MaRDI QIDQ6868557zbMATH OpenFDO

Authors Markus Hess

Publication date 23 January 2026

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/07362994.2025.2542819

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Gaussian processes (60G15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random fields (60G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Applications of branching processes (60J85) Financial applications of other theories (91G80) Epidemiology (92D30) Optimal stochastic control (93E20)

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