论文信息 - A Stochastic Maximum Principle for Systems with Jumps

A Stochastic Maximum Principle for Systems with Jumps

We obtain a stochastic maximum principle for systems with jumps that provides both necessary and sufficient conditions of optimality. This is the first version of the stochastic maximum principle that covers the consumption-investment problem in which there are jumps in the price system

Xining Li | Qimin Zhang

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