The Maximum Principle for One Kind of Stochastic Optimization Problem and Application in Dynamic Measure of Risk

Authors
Lin Ji, Shao Wu, Zhen
Citation
Lin Ji, Shao et Wu, Zhen, The Maximum Principle for One Kind of Stochastic Optimization Problem and Application in Dynamic Measure of Risk, Acta mathematica Sinica. English series (Print) , 23(12), 2007, pp. 2189-2204
Journal title
Acta mathematica Sinica. English series (Print) → ACNP
ISSN journal
14398516
Volume
23
Issue
12
Year of publication
2007
Pages
2189 - 2204
Database
ACNP
SICI code
Abstract
The authors get a maximum principle for one kind of stochastic optimization problem motivated by dynamic measure of risk. The dynamic measure of risk to an investor in a financial market can be studied in our framework where the wealth equation may have nonlinear coefficients.