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 partial information optimal consumption and portfolio problems in
infinite horizon

Haadem, Sven

Proske, Frank

Øksendal, Bernt

English

arXiv

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 partial information optimal consumption and portfolio problems in infinite horizon

Maximum principles for jump diffusion processes with infinite horizon

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