{
  "id": "1206.1719",
  "version": "v1",
  "published": "2012-06-08T10:27:45.000Z",
  "updated": "2012-06-08T10:27:45.000Z",
  "title": "Maximum principles for jump diffusion processes with infinite horizon",
  "authors": [
    "Sven Haadem",
    "Bernt Øksendal",
    "Frank Proske"
  ],
  "categories": [
    "math.OC"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2012-06-08T10:27:45.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "93E20",
      "60J75",
      "60H10",
      "60H20",
      "49J55"
    ],
    "keywords": [
      "jump diffusion processes",
      "infinite horizon",
      "maximum principles",
      "partial information optimal consumption",
      "portfolio problems"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2012arXiv1206.1719H"
    }
  }
}