A Stochastic Maximum Principle for Optimal Control
of Jump Diffusions and Applications to Finance

Shi Jingtao,Wu Zhen

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PDF(215 KB)
CHINESE JOURNAL OF APPLIED PROBABILITY AND STATISTICS ›› 2011, Vol. 27 ›› Issue (2) : 127-137.
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A Stochastic Maximum Principle for Optimal Control
of Jump Diffusions and Applications to Finance

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