Maximum principle for a stochastic optimal control problem and application to portfolio/consumption choice
type: Item
instance of: scholarly article
title: Maximum principle for a stochastic optimal control problem and application to portfolio/consumption choice
zbMATH Open document ID: 0915.90033
DOI: 10.1023/A:1022636332265
author: K. Appert
published in: Journal of Optimization Theory and Applications
publication date: 1999-03-30T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 1236681
zbMATH Keywords: stochastic optimal control
zbMATH Keywords: stochastic maximum principle
zbMATH Keywords: portfolio and consumption choice
zbMATH Keywords: financial market
zbMATH Keywords: Pontryagin local maximum principle
zbMATH Keywords: variational methods
MaRDI profile type: Publication
cites work: Q4794153
cites work: Q4794152
cites work: The optimal control of diffusions
cites work: Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
cites work: A General Stochastic Maximum Principle for Optimal Control Problems
cites work: Backward stochastic differential equations and applications to optimal control
full work available at URL: a:1022636332265
OpenAlex ID: W278441094
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description: scientific article; zbMATH DE number 1236681