A Stochastic Maximum Principle for CBI Processes
- 5 May 2021
- preprint
- Published by Elsevier BV in SSRN Electronic Journal
Abstract
In this paper, we prove a sufficient stochastic maximum principle for continuous-state branching processes with immigration (so-called CBI processes). We apply the result to several stochastic control problems stemming from finance and epidemiology.This publication has 14 references indexed in Scilit:
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