Optimality conditions for partial information stochastic control problems driven by Lévy processes

DOI10.1016/j.sysconle.2012.08.005zbMath1252.49037OpenAlexW2009057540MaRDI QIDQ694793

Khaled Bahlali, Brahim Mezerdi, Nabil Khelfallah

Publication date: 13 December 2012

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

Full work available at URL: https://doi.org/10.1016/j.sysconle.2012.08.005

zbMATH Keywords

optimal controlmaximum principlestochastic differential equationLévy processespartial informationTeugels martingale

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items

Infinite horizon optimal control of forward–backward stochastic system driven by Teugels martingales with Lévy processes, The maximum principle for partially observed optimal control of FBSDE driven by Teugels martingales and independent Brownian motion, Partial information stochastic differential games for backward stochastic systems driven by Lévy processes

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