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, Norwegian School of Economics and Business Administration
A. Sulem: INRIA, Domaine de Voluceau

Journal of Optimization Theory and Applications, 2005, vol. 124, issue 2, No 14, 512 pages

Abstract: Abstract We correct Example 4.2 of Ref. 1.

Keywords: Jump diffusions; optimal control; sufficient maximum principle; mean-variance portfolio selection (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s10957-004-0949-6

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