Title :
A Stochastic Maximum Principle for Systems with Jumps
Author :
Zhang, Qimin ; Li, Xining
Author_Institution :
Sch. of Math. & Comput. Sci., NingXia Univ., YinChuan
fDate :
Aug. 30 2006-Sept. 1 2006
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;
Conference_Titel :
Innovative Computing, Information and Control, 2006. ICICIC '06. First International Conference on
Conference_Location :
Beijing
Print_ISBN :
0-7695-2616-0
DOI :
10.1109/ICICIC.2006.27
