DocumentCode
456619
Title
A Stochastic Maximum Principle for Systems with Jumps
Author
Zhang, Qimin ; Li, Xining
Author_Institution
Sch. of Math. & Comput. Sci., NingXia Univ., YinChuan
Volume
1
fYear
2006
fDate
Aug. 30 2006-Sept. 1 2006
Firstpage
348
Lastpage
351
Abstract
We obtain a stochastic maximum principle for systems with jumps that provides both necessary and sufficient conditions of optimality. This is the first version of the stochastic maximum principle that covers the consumption-investment problem in which there are jumps in the price system
Keywords
differential equations; investment; maximum principle; stochastic systems; consumption-investment problem; differential equations; price system; stochastic maximum principle; Computer science; Control systems; Differential equations; Mathematics; Measurement standards; Motion measurement; Process control; Stochastic processes; Stochastic systems; Sufficient conditions;
fLanguage
English
Publisher
ieee
Conference_Titel
Innovative Computing, Information and Control, 2006. ICICIC '06. First International Conference on
Conference_Location
Beijing
Print_ISBN
0-7695-2616-0
Type
conf
DOI
10.1109/ICICIC.2006.27
Filename
1691811
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