摘要
Both necessary and sufficient maximum principles for optimal control of stochastic systemwith random jumps consisting of forward and backward state variables are proved.The control variableis allowed to enter both diffusion and jump coefficients.The result is applied to a mean-varianceportfolio selection mixed with a recursive utility functional optimization problem.Explicit expressionof the optimal portfolio selection strategy is obtained in the state feedback form.
Both necessary and sufficient maximum principles for optimal control of stochastic system with random jumps consisting of forward and backward state variables are proved. The control variable is allowed to enter both diffusion and jump coefficients. The result is applied to a mean-variance portfolio selection mixed with a recursive utility functional optimization problem. Explicit expression of the optimal portfolio selection strategy is obtained in the state feedback form.
基金
supported by the National Basic Research Program of China (973 Program) under Grant No.2007CB814904
the National Natural Science Foundations of China under Grant Nos.10921101 and 10701050
the Natural Science Foundation of Shandong Province under Grant Nos.JQ200801 and 2008BS01024
关键词
随机控制系统
跳跃
应用
最优投资组合
前向
资金
原理
系统最优控制
Forward-backward stochastic control system, maximum principle, Poisson random measure, recursive utility, stochastic optimal control.
