Maximum principles for jump diffusion processes with infinite horizon

2012/06/08 by Sven Haadem, Haadem, Sven, Bernt Øksendal +3 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #49J55 #60H10 #60H20 #60J75 #93E20 #93EXX #FOS: Mathematics #Mathematical Biology Tumor Growth #Optimization and Control (math.OC) #Risk and Portfolio Optimization #Stochastic processes and financial applications #math.OC #msc:49J55 #msc:60H10 #msc:60H20 #msc:60J75 #msc:93E20 #msc:93EXX

paper · pdf · doi:10.48550/arxiv.1206.1719

arxiv created 2012/06/08 · openalex publication_date 2012/06/08 · arxiv updated 2012/06/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We prove maximum principles for the problem of optimal control for a jump diffusion with infinite horizon and partial information. The results are applied to partial information optimal consumption and portfolio problems in infinite horizon.

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