The relaxed stochastic maximum principle in singular optimal control of jump diffusions

DOI10.1007/s40840-023-01632-wzbMath1530.49017OpenAlexW4390273575MaRDI QIDQ6178663

Hanane Ben Gherbal, Brahim Mezerdi

Publication date: 16 January 2024

Published in: Bulletin of the Malaysian Mathematical Sciences Society. Second Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40840-023-01632-w

zbMATH Keywords

optimal controlstochastic differential equationstochastic maximum principlesingular controljump processrelaxed control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Variational principles in infinite-dimensional spaces (58E30) Methods involving semicontinuity and convergence; relaxation (49J45) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55) Jump processes on general state spaces (60J76)

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