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

N. C. Framstad, B. Øksendal and A. Sulem
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N. C. Framstad: University of Oslo
B. Øksendal: University of Oslo
A. Sulem: INRIA, Domaine de Voluceau

Journal of Optimization Theory and Applications, 2004, vol. 121, issue 1, No 5, 77-98

Abstract: Abstract We give a verification theorem by employing Arrow's generalization of the Mangasarian sufficient condition to a general jump diffusion setting and show the connections of adjoint processes to dynamic programming. The result is applied to financial optimization problems.

Keywords: Jump diffusions; optimal control; sufficient maximum principle; mean-variance portfolio selection (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (15)

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DOI: 10.1023/B:JOTA.0000026132.62934.96

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