Optimality conditions for optimal control of jump-diffusion SDEs with correlated observations noises

zbMath1299.49029MaRDI QIDQ473885

Hua Xiao

Publication date: 24 November 2014

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (3)

Necessary conditions for partially observed optimal control of general McKean–Vlasov stochastic differential equations with jumps ⋮ The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps ⋮ A NOTE ON A NEW APPROACH TO BOTH PRICE AND VOLATILITY JUMPS: AN APPLICATION TO THE PORTFOLIO MODEL

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