A stochastic maximum principle for systems with jumps, with applications to finance. (Q1853443)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A stochastic maximum principle for systems with jumps, with applications to finance. |
scientific article; zbMATH DE number 1856781
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic maximum principle for systems with jumps, with applications to finance. |
scientific article; zbMATH DE number 1856781 |
Statements
A stochastic maximum principle for systems with jumps, with applications to finance. (English)
0 references
21 January 2003
0 references
Stochastic maximum principle
0 references
Convex analysis
0 references
Stochastic control
0 references
Backward stochastic differential equations
0 references
Adjoint equation
0 references
Consumption--investment problem
0 references
0 references
