Pointwise second-order necessary conditions for stochastic optimal control with jump diffusions

DOI10.1007/S40304-021-00272-5MaRDI QIDQ6084118zbMATH OpenFDO

Authors Abdelhak Ghoul, Mokhtar Hafayed, Imad Eddine Lakhdari, Shahlar Meherrem

Publication date 31 October 2023

Published in Communications in Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S40304-021-00272-5

zbMATH Keywords

maximum principleoptimal controlpointwise second-order necessary conditionstochastic systems with jumpsvariational equation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Jump processes on discrete state spaces (60J74) Optimal stochastic control (93E20)

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Cited in

(1)

• Second-order necessary condition for partially observed stochastic system with random jumps

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