Maximum principles for jump diffusion processes with infinite horizon

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• 作者：Sven Haadem ^{svenhaadem@gmail.com}Author Vitae ; Bernt Ø ; ksendal¹ ; ^{bernt.oksendal@cma.uio.no} ; ^{oksendal@math.uio.no}Author Vitae ; Frank Proske ^{proske@math.uio.no}Author Vitae
• 关键词：Optimal control ; Lé ; vy processes ; Maximum principle ; Hamiltonian ; Infinite horizon ; Adjoint process ; Partial information
• 刊名：Automatica
• 出版年：2013
• 出版时间：July, 2013
• 年：2013
• 卷：49
• 期：7
• 页码：2267-2275
• 全文大小：535 K

文摘

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.