On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance. (Q464722): Difference between revisions

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English	On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance.	scientific article

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scholarly article

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title

On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance. (English)

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Applications of Mathematics

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publication date

29 October 2014

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full work available at URL

http://hdl.handle.net/10338.dmlcz/143872

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review text

The authors' aim is to establish necessary and sufficient conditions for near-optimality for systems governed by nonlinear forward-backward stochastic differential systems with jumps where the control variable appears both in the diffusion and jump coefficients. The proof of their result is based on Ekeland's variational principle and they prove that under some additional assumptions the necessary conditions are also sufficient for near-optimality. As an application to finance, the mean-variance portfolio selection mixed problem is provided.

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reviewed by

Nikolaos Halidias

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zbMATH Keywords

stochastic near-optimal controls

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jump processes

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forward-backward stochastic systems with jumps

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necessary and sufficient conditions for near-optimality

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Ekeland's variational principle

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MaRDI profile type

MaRDI publication profile

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cites work

Necessary and sufficient conditions for near-optimality in stochastic control of FBSDEs

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Q3574973

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Optimal Control of Jump Processes

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Discrete-time approximation of decoupled Forward-Backward SDE with jumps

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A stochastic maximum principle for systems with jumps, with applications to finance.

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On the variational principle

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Backward Stochastic Differential Equations in Finance

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A dynamic maximum principle for the optimization of recursive utilities under constraints.

0 references

Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance

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Q3041845

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On necessary and sufficient conditions for near-optimal singular stochastic controls

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

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Near-optimal control problems for linear forward-backward stochastic systems

0 references

Optimal portfolio for a small investor in a market model with discontinuous prices

0 references

Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

0 references

Q3785473

0 references

Applied stochastic control of jump diffusions

0 references

Near-optimal controls of a class of Volterra integral systems

0 references

Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control

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Q3285814

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Q4073255

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Necessary conditions for optimal control of forward-backward stochastic systems with random jumps

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Q5047847

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Maximum principle for forward-backward stochastic control system with random jumps and applications to finance

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Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality

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Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

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Stochastic maximum principle for optimal control problem of forward and backward system

0 references

Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions

0 references

Q4255599

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Deterministic near-optimal control. I: Necessary and sufficient conditions for near-optimality

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Deterministic Near-Optimal Controls. Part II: Dynamic Programming and Viscosity Solution Approach

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Continuous-time mean-variance portfolio selection: a stochastic LQ framework

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Identifiers

zbMATH Open document ID

1340.60084

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DOI

10.1007/s10492-014-0064-4

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:464722

@@ Property / review text @@
+The authors' aim is to establish necessary and sufficient conditions for near-optimality for systems governed by nonlinear forward-backward stochastic differential systems with jumps where the control variable appears both in the diffusion and jump coefficients. The proof of their result is based on Ekeland's variational principle and they prove that under some additional assumptions the necessary conditions are also sufficient for near-optimality. As an application to finance, the mean-variance portfolio selection mixed problem is provided.
+Normal rank
@@ Property / reviewed by @@
+Nikolaos Halidias
@@ Property / reviewed by: Nikolaos Halidias / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H10
@@ Property / Mathematics Subject Classification ID: 60H10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+K45
@@ Property / Mathematics Subject Classification ID: 49K45 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6362236
@@ Property / zbMATH DE Number: 6362236 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic near-optimal controls
@@ Property / zbMATH Keywords: stochastic near-optimal controls / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+jump processes
@@ Property / zbMATH Keywords: jump processes / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+forward-backward stochastic systems with jumps
+Normal rank
@@ Property / zbMATH Keywords @@
+necessary and sufficient conditions for near-optimality
+Normal rank
@@ Property / zbMATH Keywords @@
+Ekeland's variational principle
@@ Property / zbMATH Keywords: Ekeland's variational principle / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W1968734542
@@ Property / OpenAlex ID: W1968734542 / rank @@
+Normal rank
@@ Property / cites work @@
+Necessary and sufficient conditions for near-optimality in stochastic control of FBSDEs
+Normal rank
@@ Property / cites work @@
+Q3574973
@@ Property / cites work: Q3574973 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Control of Jump Processes
@@ Property / cites work: Optimal Control of Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Discrete-time approximation of decoupled Forward-Backward SDE with jumps
+Normal rank
@@ Property / cites work @@
+A stochastic maximum principle for systems with jumps, with applications to finance.
+Normal rank
@@ Property / cites work @@
+On the variational principle
@@ Property / cites work: On the variational principle / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+A dynamic maximum principle for the optimization of recursive utilities under constraints.
+Normal rank
@@ Property / cites work @@
+Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
+Normal rank
@@ Property / cites work @@
+Q3041845
@@ Property / cites work: Q3041845 / rank @@
+Normal rank
@@ Property / cites work @@
+On necessary and sufficient conditions for near-optimal singular stochastic controls
+Normal rank
@@ Property / cites work @@
+On maximum principle of near-optimality for diffusions with jumps, with application to consumption-investment problem
+Normal rank
@@ Property / cites work @@
+Near-optimal control problems for linear forward-backward stochastic systems
+Normal rank
@@ Property / cites work @@
+Optimal portfolio for a small investor in a market model with discontinuous prices
+Normal rank
@@ Property / cites work @@
+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
+Normal rank
@@ Property / cites work @@
+Q3785473
@@ Property / cites work: Q3785473 / rank @@
+Normal rank
@@ Property / cites work @@
+Applied stochastic control of jump diffusions
@@ Property / cites work: Applied stochastic control of jump diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Near-optimal controls of a class of Volterra integral systems
+Normal rank
@@ Property / cites work @@
+Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
+Normal rank
@@ Property / cites work @@
+Q3285814
@@ Property / cites work: Q3285814 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4073255
@@ Property / cites work: Q4073255 / rank @@
+Normal rank
@@ Property / cites work @@
+Necessary conditions for optimal control of forward-backward stochastic systems with random jumps
+Normal rank
@@ Property / cites work @@
+Q5047847
@@ Property / cites work: Q5047847 / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum principle for forward-backward stochastic control system with random jumps and applications to finance
+Normal rank
@@ Property / cites work @@
+Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
+Normal rank
@@ Property / cites work @@
+Stochastic maximum principle for optimal control problem of forward and backward system
+Normal rank
@@ Property / cites work @@
+Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
+Normal rank
@@ Property / cites work @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
+Normal rank
@@ Property / cites work @@
+Deterministic near-optimal control. I: Necessary and sufficient conditions for near-optimality
+Normal rank
@@ Property / cites work @@
+Deterministic Near-Optimal Controls. Part II: Dynamic Programming and Viscosity Solution Approach
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:464722