The relaxed stochastic maximum principle in optimal control of diffusions with controlled jumps

zbMath1372.93218MaRDI QIDQ2408323

Brahim Mezerdi, Hanane Ben Gherbal

Publication date: 12 October 2017

Published in: Afrika Statistika (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.as/1505354425

zbMATH Keywords

optimal controlmaximum principlerelaxed control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items (3)

The relaxed stochastic maximum principle in singular optimal control of jump diffusions ⋮ Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models ⋮ Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps

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