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arXiv:1206.1719 [math.OC]AbstractReferencesReviewsResources

Maximum principles for jump diffusion processes with infinite horizon

Sven Haadem, Bernt Øksendal, Frank Proske

Published 2012-06-08Version 1

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.

Categories: math.OC
Subjects: 93E20, 60J75, 60H10, 60H20, 49J55
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