Maximum principles for jump diffusion processes with infinite horizon
Optimization and Control
2012-06-11 v1
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 partial information optimal consumption and portfolio problems in infinite horizon.
Keywords
Cite
@article{arxiv.1206.1719,
title = {Maximum principles for jump diffusion processes with infinite horizon},
author = {Sven Haadem and Bernt Øksendal and Frank Proske},
journal= {arXiv preprint arXiv:1206.1719},
year = {2012}
}