Stochastic minimum principle for partially observed systems subject to continuous and jump diffusion processes and driven by relaxed controls

DOI10.1137/120885656zbMATH Open1290.49034arXiv1302.3455OpenAlexW1971375986MaRDI QIDQ2862467FDOQ2862467

Authors: N. U. Ahmed, Charalambos D. Charalambous 

Publication date: 15 November 2013

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Abstract: In this paper we consider non convex control problems of stochastic differential equations driven by relaxed controls. We present existence of optimal controls and then develop necessary conditions of optimality. We cover both continuous diffusion and Jump processes.

Full work available at URL: https://arxiv.org/abs/1302.3455

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zbMATH Keywords

stochastic differential equationsnecessary optimality conditionsjump processesoptimal controlsrelaxed controlscontinuous diffusion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Cited In (11)

• Stochastic initial boundary value problems subject to distributed and boundary noise and their optimal control
• Large Sample Mean-Field Stochastic Optimization
• The stochastic maximum principle for relaxed control problem with regime-switching
• Necessary conditions of optimality for some stochastic integrodifferential equations of neutral type on Hilbert spaces
• Team Theory and Information Structures of Stochastic Dynamic Decentralized Decision
• Centralized systemic risk control in the interbank system: weak formulation and gamma-convergence
• Decentralized optimality conditions of stochastic differential decision problems via Girsanov's measure transformation
• Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information
• Erratum: Stochastic Minimum Principle for Partially Observed Systems Subject to Continuous and Jump Diffusion Processes and Driven by Relaxed Controls
• Existence of optimal controls for systems of controlled forward-backward doubly SDEs
• Sufficient Conditions of Optimality for Forward-Backward Doubly SDEs with Jumps

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