Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance (Q704754)
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scientific article; zbMATH DE number 2129766
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| English | Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance |
scientific article; zbMATH DE number 2129766 |
Statements
Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance (English)
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19 January 2005
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Jump diffusions
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optimal control
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sufficient maximum principle
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mean-variance portfolio selection
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Bilevel programming
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equilibrium constraints
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stochastic programming
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existence of solutions
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stochastic Stackelberg games
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structural optimization
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0.863678514957428
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0.8490447998046875
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0.8396517038345337
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0.8235329389572144
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