On second-order control problem of stochastic systems with random Lévy process

DOI10.1080/00207179.2026.2720290MaRDI QIDQ7395356zbMATH OpenFDO

Authors Messaouda Terchi

Publication date 2026

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207179.2026.2720290

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Cites work

• A maximum principle for partial information backward stochastic control problems with applications
• A Maximum Principle for Stochastic Control with Partial Information
• A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems
• A second-order maximum principle for singular optimal stochastic controls
• Chaotic and predictable representations for Lévy processes.
• First and second order necessary conditions for stochastic optimal control problems
• First and second order necessary conditions for stochastic optimal controls
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• Necessary and sufficient conditions for optimal control of stochastic systems associated with Lévy processes
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• On mean-field partial information maximum principle of optimal control for stochastic systems with Lévy processes
• On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures
• On pointwise second-order maximum principle for optimal stochastic controls of general mean-field type
• Orthogonal polynomials of several variables
• Pointwise second-order necessary conditions for stochastic optimal control with jump diffusions
• Pointwise second-order necessary conditions for stochastic optimal controls. I: The case of convex control constraint
• Pointwise second-order necessary conditions for stochastic optimal controls. II: The general case
• Second order necessary conditions of optimality for stochastic systems with variable delay
• Second-order necessary condition for partially observed stochastic system with random jumps
• Second-order necessary conditions for optimal control with recursive utilities
• Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information

This page was built for publication: On second-order control problem of stochastic systems with random Lévy process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7395356)