Stochastic near-optimal singular controls for jump diffusions: necessary and sufficient conditions
From MaRDI portal
Publication:2441454
DOI10.1007/s10883-013-9191-6zbMath1287.93108OpenAlexW2016950379MaRDI QIDQ2441454
Publication date: 24 March 2014
Published in: Journal of Dynamical and Control Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10883-013-9191-6
jump processesEkeland's variational principlesingular stochastic controlconvex perturbationnear-optimal necessary and sufficient conditions
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)
Related Items
Maximum principle for near-optimality of stochastic delay control problem, Near-optimal control of stochastic recursive systems via viscosity solution, Sufficient and necessary conditions of near-optimal controls for a diffusion dengue model with Lévy noise, Pointwise second-order necessary conditions for stochastic optimal control with jump diffusions, On optimal mean-field control problem of mean-field forward-backward stochastic system with jumps under partial information, Necessary and sufficient conditions for near-optimality of stochastic delay systems, On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures, Necessary condition for near optimal control of linear forward–backward stochastic differential equations, Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem, On mean-field partial information maximum principle of optimal control for stochastic systems with Lévy processes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Near optimality conditions in stochastic control of jump diffusion processes
- On maximum principle of near-optimality for diffusions with jumps, with application to consumption-investment problem
- Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
- Near-optimal controls of a class of Volterra integral systems
- On the variational principle
- A stochastic maximum principle for systems with jumps, with applications to finance.
- Deterministic near-optimal control. I: Necessary and sufficient conditions for near-optimality
- On necessary and sufficient conditions for near-optimal singular stochastic controls
- Singular Stochastic Control, Linear Diffusions, and Optimal Stopping: A Class of Solvable Problems
- Finite-Fuel Singular Control With Discretionary Stopping
- On singular stochastic control problems for diffusion with jumps
- Maximum Principle for Singular Stochastic Control Problems
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality
- Singular Stochastic Control Problems
- A class of solvable singular stochastic control problems
- Deterministic Near-Optimal Controls. Part II: Dynamic Programming and Viscosity Solution Approach
- Singular Optimal Stochastic Controls I: Existence
- The stochastic maximum principle for a singular control problem
- Necessary conditions for optimal singular stochastic control problems
- The stochastic maximum principle in optimal control of singular diffusions with non linear coefficients
- Applied stochastic control of jump diffusions