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

DOI10.1007/s10883-013-9191-6zbMath1287.93108OpenAlexW2016950379MaRDI 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 processesEkeland's variational principlesingular stochastic controlconvex perturbationnear-optimal necessary and sufficient conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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