{"title":"A Stochastic Maximum Principle for CBI Processes","authors":"M. Hess","doi":"10.2139/ssrn.3840245","DOIUrl":null,"url":null,"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.","PeriodicalId":13563,"journal":{"name":"Insurance & Financing in Health Economics eJournal","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2021-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Insurance & Financing in Health Economics eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3840245","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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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.
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