Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice

DOI10.1360/AAS-007-1043zbMATH Open1164.91351OpenAlexW2029578369MaRDI QIDQ3538147FDOQ3538147

Authors: Guangchen Wang, Zhen Wu 

Publication date: 24 November 2008

Published in: Acta Automatica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/aas-007-1043

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zbMATH Keywords

portfolio choicestochastic maximum principlerisk-sensitive control

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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• Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
• Maximum principle for a stochastic optimal control problem and application to portfolio/consumption choice
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• Representation of the bilinear system output by multiple stochastic integrals
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• General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance

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