A stochastic maximum principle for systems with jumps, with applications to finance.
type: Item
instance of: scholarly article
title: A stochastic maximum principle for systems with jumps, with applications to finance.
zbMATH Open document ID: 1106.93342
DOI: 10.1016/S0167-6911(02)00231-1
author: Abel Cadenillas
published in: Systems \& Control Letters
publication date: 2003-01-21T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49K45
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91B62
zbMATH DE Number: 1856781
zbMATH Keywords: Stochastic maximum principle
zbMATH Keywords: Convex analysis
zbMATH Keywords: Stochastic control
zbMATH Keywords: Backward stochastic differential equations
zbMATH Keywords: Adjoint equation
zbMATH Keywords: Consumption--investment problem
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1856781