Pointwise second-order necessary conditions for stochastic optimal control with jump diffusions
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Publication:6084118
DOI10.1007/s40304-021-00272-5zbMath1526.93278MaRDI QIDQ6084118
Shahlar Meherrem, Mokhtar Hafayed, Abdelhak Ghoul, Imad Eddine Lakhdari
Publication date: 31 October 2023
Published in: Communications in Mathematics and Statistics (Search for Journal in Brave)
optimal controlmaximum principlevariational equationpointwise second-order necessary conditionstochastic systems with jumps
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Jump processes on discrete state spaces (60J74)
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