Abstract
This paper is concerned with the optimal control of jump type stochastic differential equations associated with (general) Levy generators. The maximum principle is formulated for the solutions of the equations, which is inspired by N. C. Framstad, B. Oksendal and A. Sulem [J. Optim. Theory Appl., 2004, 121: 77–98] (and a continuation, J. Bennett and J. -L. Wu [Front. Math. China, 2007, 2(4): 539–558]). The result is then applied to optimization problems in financial models driven by Levy-type processes.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
