Abstract
This paper establishes a necessary and sufficient stochastic maximum principle for backward systems, where the state processes are governed by jump-diffusion backward stochastic differential equations with random default time. An application of the sufficient stochastic maximum principle to an optimal investment and capital injection problem in the presence of default risk is discussed.
| Original language | English |
|---|---|
| Pages (from-to) | 953-965 |
| Number of pages | 13 |
| Journal | International Journal of Control |
| Volume | 86 |
| Issue number | 5 |
| DOIs | |
| Publication status | Published - 1 May 2013 |
Keywords
- stochastic maximum principle
- backward control systems
- random default time
- backward stochastic differential equations