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.
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This work is supported by the National Basic Research Program of China (973 Program, No. 2007CB814900) the Natural Science Foundation of China (10671112), Shandong Province (Z2006A01), and the New Century Excellent Young Teachers Program of Education Ministry of China
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Ji, S.L., Wu, Z. The Maximum Principle for One Kind of Stochastic Optimization Problem and Application in Dynamic Measure of Risk. Acta. Math. Sin.-English Ser. 23, 2189–2204 (2007). https://doi.org/10.1007/s10114-007-0989-6
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DOI: https://doi.org/10.1007/s10114-007-0989-6
Keywords
- backward stochastic differential equation
- perturbation method
- Ekeland's variational principle
- dynamic measure of risk