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Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance

Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and... We give a verification theorem by employing Arrow's generalization of the Mangasarian sufficient condition to a general jump diffusion setting and show the connections of adjoint processes to dynamic programming. The result is applied to financial optimization problems. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Optimization Theory and Applications Springer Journals

Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance

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References (20)

Publisher
Springer Journals
Copyright
Copyright © 2004 by Plenum Publishing Corporation
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Optimization; Theory of Computation; Applications of Mathematics; Engineering, general; Operation Research/Decision Theory
ISSN
0022-3239
eISSN
1573-2878
DOI
10.1023/B:JOTA.0000026132.62934.96
Publisher site
See Article on Publisher Site

Abstract

We give a verification theorem by employing Arrow's generalization of the Mangasarian sufficient condition to a general jump diffusion setting and show the connections of adjoint processes to dynamic programming. The result is applied to financial optimization problems.

Journal

Journal of Optimization Theory and ApplicationsSpringer Journals

Published: Oct 23, 2004

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