On maximum principle of near-optimality for diffusions with jumps, with application to consumption-investment problem (Q691358)

Based on \textit{I. Ekeland}'s variational principle [J. Math. Anal. Appl. 47, 324--353 (1974; Zbl 0286.49015)], a weak Pontryagin's maximum principle [\textit{A. Bensoussan}, ``Lectures on stochastic control'', Lect. Notes Math. 972, 40--62 (1982; Zbl 0505.93079)] of near-optimality [\textit{X. Y. Zhou}, SIAM J. Control Optimization 36, No. 3, 929--947 (1998; Zbl 0914.93073)] is proved for diffusions with jumps \[ \begin{cases} dx_t = f(t,x_t,u_t)dt + \sigma (t,x_t,u_t)dW_t+ \int_{\Lambda} g(t,x_{t^{-}},u_t, \theta) N(d \theta ,dt), \;\Lambda \subset \mathbb R^k\\ u_0 = \xi, \end{cases} \] where \(N(d \theta,dt)\) is a Poisson martingale measure and \((W_{t})_ {t \in [0,T]}\) is a Brownian motion. The control variable \( u= (u_t)\) takes values in a compact convex set. An application to the finance problem of consumption-investment is provided.