The maximum principle for one kind of Stochastic Optimization Problem and Application in Dynamic Measure of Risk

Shaolin Ji; Zhen Wu

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The maximum principle for one kind of Stochastic Optimization Problem and Application in Dynamic Measure of Risk

Shaolin Ji * #,Zhen Wu *

School of Mathematics and System Sciences, Shandong University

*Correspondence author

#Submitted by

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Funding: none

Opened online: 4 July 2005

Accepted by: none

Citation: Shaolin Ji,Zhen Wu.The maximum principle for one kind of Stochastic Optimization Problem and Application in Dynamic Measure of Risk[OL]. [ 4 July 2005] http://en.paper.edu.cn/en_releasepaper/content/2355

In this paper we get the maximum principle for one kind of stochastic optimization problem motivated by the dynamic measure of risk. The dynamic measure of risk to the investor in financial market can be studied in our framework where the wealth equation may have nonlinear coefficient.

Keywords:backward stochastic differential equation, perturbation method, Ekeland variational principle, dynamic measure of risk

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