Stochastic near-optimal singular controls for jump diffusions: necessary and sufficient conditions

DOI10.1007/s10883-013-9191-6zbMath1287.93108MaRDI QIDQ2441454

Syed Abbas, Mokhtar Hafayed

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

zbMATH Keywords

jump processes; Ekeland's variational principle; singular stochastic control; convex perturbation; near-optimal necessary and sufficient conditions

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness

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