Paper Info
Title
Maximum principles for jump diffusion processes with infinite horizon.
Abstract
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.
Year
DOI
Venue
2013
10.1016/j.automatica.2013.04.011
Automatica
Keywords
DocType
Volume
Optimal control,Lévy processes,Maximum principle,Hamiltonian,Infinite horizon,Adjoint process,Partial information
Journal
49
Issue
ISSN
Citations 
7
0005-1098
5
PageRank 
References 
Authors
0.66
0
3
Name
Order
Citations
PageRank
Sven Haadem191.33
Bernt Oksendal28915.84
Frank Proske3122.54