A general optimality conditions for stochastic control problems of jump diffusions

DOI10.1007/s00245-011-9143-zzbMath1242.49055OpenAlexW2085634202MaRDI QIDQ434355

Adel Chala, Seid Bahlali

Publication date: 10 July 2012

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-011-9143-z

zbMATH Keywords

variational inequalitystochastic maximum principleadjoint equationrelaxed controljump diffusionstrict control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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