Automatica, Vol.49, No.7, 2267-2275, 2013
Maximum principles for jump diffusion processes with infinite horizon
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. (C) 2013 Elsevier Ltd. All rights reserved.
Keywords:Optimal control;Levy processes;Maximum principle;Hamiltonian;Infinite horizon;Adjoint process;Partial information