Title of article
Maximum principles for jump diffusion processes with infinite horizon
Author/Authors
Haadem، نويسنده , , Sven and طksendal، نويسنده , , Bernt and Proske، نويسنده , , Frank، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2013
Pages
9
From page
2267
To page
2275
Abstract
We prove maximum principles for the problem of optimal control for a jump diffusion with infinite horizon and partial information. The results are applied to an optimal consumption and portfolio problem in infinite horizon.
Keywords
Maximum principle , Hamiltonian , Partial information , Adjoint process , Infinite horizon , optimal control , Lévy processes
Journal title
Automatica
Serial Year
2013
Journal title
Automatica
Record number
1449314
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