Optimality conditions for partial information stochastic control problems driven by Lévy processes
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Publication:694793
DOI10.1016/j.sysconle.2012.08.005zbMath1252.49037MaRDI 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
optimal control; maximum principle; stochastic differential equation; Lévy processes; partial information; Teugels martingale
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
49K45: Optimality conditions for problems involving randomness
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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, Infinite horizon optimal control of forward–backward stochastic system driven by Teugels martingales with Lévy processes
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