Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
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Publication:704754
DOI10.1023/B:JOTA.0000026132.62934.96zbMATH Open1140.93496OpenAlexW2056551289MaRDI QIDQ704754FDOQ704754
Authors: B. Øksendal, Agnès Sulem, Nils Chr. Framstad 
Publication date: 19 January 2005
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/b:jota.0000026132.62934.96
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equilibrium constraintsexistence of solutionsoptimal controlstochastic programmingstructural optimizationmean-variance portfolio selectionsufficient maximum principleBilevel programmingJump diffusionsstochastic Stackelberg games
Optimality conditions for problems involving randomness (49K45) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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- Dynamic programming for a Markov-switching jump-diffusion
- Maximum principle for forward-backward stochastic control system with random jumps and applications to finance
- Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
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- Effect of the Return Policy in a Continuous-Time Newsvendor Problem
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- Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance
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- Mean Variance Hedging in a General Jump Model
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- Irreversible investment under predictable growth: why land stays vacant when housing demand is booming
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- Stochastic optimal control of pre-exposure prophylaxis for HIV infection for a jump model
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- A maximum principle for controlled stochastic factor model
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- Analysis of investment and decision-making based on ESG token platform under jump-diffusion
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- Optimal controls of stochastic differential equations with jumps and random coefficients: stochastic Hamilton-Jacobi-Bellman equations with jumps
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