Stochastic near-optimal singular controls for jump diffusions: necessary and sufficient conditions
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Publication:2441454
DOI10.1007/s10883-013-9191-6zbMath1287.93108MaRDI 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 processes; Ekeland's variational principle; singular stochastic control; convex perturbation; near-optimal necessary and sufficient conditions
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
49K45: Optimality conditions for problems involving randomness
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