Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
696382 | Automatica | 2013 | 9 Pages |
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 an optimal consumption and portfolio problem in infinite horizon.
Keywords
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Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
Sven Haadem, Bernt Øksendal, Frank Proske,