Abstract
We give a verification theorem by employing Arrow's generalization of the Mangasarian sufficient condition to a general jump diffusion setting and show the connections of adjoint processes to dynamic programming. The result is applied to financial optimization problems.
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Framstad, N.C., Øksendal, B. & Sulem, A. Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance. Journal of Optimization Theory and Applications 121, 77–98 (2004). https://doi.org/10.1023/B:JOTA.0000026132.62934.96
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DOI: https://doi.org/10.1023/B:JOTA.0000026132.62934.96