Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance

被引：0
作者：
N. C. Framstad
B. Øksendal
A. Sulem
机构：
[1] University of Oslo,Department of Mathematics
[2] University of Oslo,Department of Mathematics
[3] Norwegian School of Economics and Business Administration,undefined
[4] INRIA,undefined
[5] Domaine de Voluceau,undefined
来源：
Journal of Optimization Theory and Applications | 2005年 / 124卷
关键词：
Jump diffusions; optimal control; sufficient maximum principle; mean-variance portfolio selection;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We correct Example 4.2 of Ref. 1.
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页码：511 / 512
页数：1
相关论文
共 3 条
  • [1] Framstad N. C.(2004)Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance Journal of Optimization Theory and Applications 121 77-98
  • [2] Øksendal B.(undefined)undefined undefined undefined undefined-undefined
  • [3] Sulem A.(undefined)undefined undefined undefined undefined-undefined
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