A Stochastic Maximum Principle for Systems with Jumps

Beijing, China August 30-September 01

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http://doi.ieeecomputersociety.org/10.1109/ICICIC.2006.27

First International Conference on Inn ...

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	Qimin Zhang, Xining Li, "A Stochastic Maximum Principle for Systems with Jumps," Innovative Computing ,Information and Control, International Conference on, vol. 1, pp. 348-351, First International Conference on Innovative Computing, Information and Control - Volume I (ICICIC'06), 2006.

	BibTex	x
	@article{ 10.1109/ICICIC.2006.27, author = {Qimin Zhang and Xining Li}, title = {A Stochastic Maximum Principle for Systems with Jumps}, journal ={Innovative Computing ,Information and Control, International Conference on}, volume = {1}, year = {2006}, isbn = {0-7695-2616-0}, pages = {348-351}, doi = {http://doi.ieeecomputersociety.org/10.1109/ICICIC.2006.27}, publisher = {IEEE Computer Society}, address = {Los Alamitos, CA, USA}, }

	RefWorks Procite/RefMan/Endnote	x
	TY - CONF JO - Innovative Computing ,Information and Control, International Conference on TI - A Stochastic Maximum Principle for Systems with Jumps SN - 0-7695-2616-0 SP348 EP351 A1 - Qimin Zhang, A1 - Xining Li, PY - 2006 KW - null VL - 1 JA - Innovative Computing ,Information and Control, International Conference on ER -

Qimin Zhang, NingXia University, China

Xining Li, NingXia University, China

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 consumptioninvestment problem in which there are jumps in the price system.

Citation:

Qimin Zhang, Xining Li, "A Stochastic Maximum Principle for Systems with Jumps," icicic, vol. 1, pp.348-351, First International Conference on Innovative Computing, Information and Control - Volume I (ICICIC'06), 2006

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