A Stochastic Maximum Principle for CBI Processes
17 Pages Posted: 7 May 2021 Last revised: 13 Jan 2024
Date Written: May 5, 2021
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.
Keywords: CBI process, stochastic differential/integral equation, stochastic control problem, stochastic maximum principle, optimal consumption, optimal control of infection numbers
JEL Classification: C02, C61
Suggested Citation: Suggested Citation
Hess, Markus, A Stochastic Maximum Principle for CBI Processes (May 5, 2021). Available at SSRN: https://ssrn.com/abstract=3840245 or http://dx.doi.org/10.2139/ssrn.3840245
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