On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance. (Q464722)
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scientific article; zbMATH DE number 6362236
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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; zbMATH DE number 6362236 |
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On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance. (English)
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29 October 2014
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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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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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0.8924270868301392
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0.867304265499115
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0.863913357257843
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0.860246479511261
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0.8533517122268677
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