Near optimality conditions in stochastic control of jump diffusion processes

DOI10.1016/j.sysconle.2011.07.009zbMath1233.49013OpenAlexW2052421796MaRDI QIDQ647642

Brahim Mezerdi, Farid Chighoub

Publication date: 24 November 2011

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2011.07.009

zbMATH Keywords

maximum principleadjoint processdiffusion with jumpsnear-optimal control

Mathematics Subject Classification ID

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

Related Items

Maximum principle for near-optimality of stochastic delay control problem, On necessary and sufficient conditions for near-optimal singular stochastic controls, Near-maximum principle for general recursive utility optimal control problem, Near-optimal control of stochastic recursive systems via viscosity solution, A stochastic maximum principle in mean-field optimal control problems for jump diffusions, Near-optimality conditions in stochastic control of linear fully coupled FBSDEs, A revisit to stochastic near-optimal controls: the critical case, Stochastic near-optimal singular controls for jump diffusions: necessary and sufficient conditions, Necessary and sufficient conditions for near-optimality of stochastic delay systems, Stochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equation, On near-optimal mean-field stochastic singular controls: necessary and sufficient conditions for near-optimality, On maximum principle of near-optimality for diffusions with jumps, with application to consumption-investment problem, Necessary condition for near optimal control of linear forward–backward stochastic differential equations, Near-optimal stochastic control for radiotherapy treatment in a random cancer model

Cites Work

• Unnamed Item
• Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
• Backward stochastic differential equations with jumps and related nonlinear expectations
• Necessary and sufficient conditions for near-optimality in stochastic control of FBSDEs
• Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
• Optimality necessary conditions in singular stochastic control problems with nonsmooth data
• Deterministic near-optimal control. I: Necessary and sufficient conditions for near-optimality
• Discrete-time approximation of decoupled Forward-Backward SDE with jumps
• On the stochastic maximum principle in optimal control of degenerate diffusions with Lipschitz coefficients
• Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps
• Backward stochastic differential equations and integral-partial differential equations
• A General Stochastic Maximum Principle for Optimal Control Problems
• A Maximum Principle for Stochastic Control with Partial Information
• Necessary conditions for optimality for a diffusion with a non-smooth drift
• The variational principle and stochastic optimal control
• Nonconvex minimization problems
• Optimal control of a jump process
• Optimal Control of Jump Processes
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• The maximum principle for optimal control of diffusions with non-smooth coefficients
• Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality
• Applied stochastic control of jump diffusions