Maximum principles for jump diffusion processes with infinite horizon
Sven Haadem, Bernt {\O}ksendal, Frank Proske
TL;DR
This paper establishes maximum principles for controlling jump diffusion processes over an infinite horizon with partial information, and applies these principles to optimal consumption and investment problems.
Contribution
It introduces maximum principles for jump diffusions with infinite horizon and partial information, advancing the theoretical framework for such stochastic control problems.
Findings
Maximum principles derived for jump diffusions with infinite horizon.
Application to partial information optimal consumption and portfolio problems.
Enhanced understanding of control strategies under jump processes.
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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Taxonomy
TopicsStochastic processes and financial applications · Risk and Portfolio Optimization · Mathematical Biology Tumor Growth