Title of article :
Maximum principles for jump diffusion processes with infinite horizon
Author/Authors :
Haadem، نويسنده , , Sven and طksendal، نويسنده , , Bernt and Proske، نويسنده , , Frank، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2013
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.
Keywords :
Maximum principle , Hamiltonian , Partial information , Adjoint process , Infinite horizon , optimal control , Lévy processes
Journal title :
Automatica
Journal title :
Automatica
