On maximum principle of near-optimality for diffusions with jumps, with application to consumption-investment problem

DOI10.1007/s12591-012-0108-8zbMath1261.49004OpenAlexW2053386446MaRDI QIDQ691358

Petr Veverka, Mokhtar Hafayed, Syed Abbas

Publication date: 30 November 2012

Published in: Differential Equations and Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12591-012-0108-8

zbMATH Keywords

first-order necessary conditionsstochastic maximum principleEkeland's variational principleconsumption-investment problemcontrolled diffusion with jumpsnear-optimal stochastic 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) Existence of optimal solutions to problems involving randomness (49J55)

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