A general optimality conditions for stochastic control problems of jump diffusions

DOI10.1007/S00245-011-9143-ZzbMATH Open1242.49055OpenAlexW2085634202MaRDI QIDQ434355FDOQ434355

Authors: Seïd Bahlali, Adel Chala 

Publication date: 10 July 2012

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-011-9143-z

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zbMATH Keywords

jump diffusionadjoint equationstochastic maximum principlevariational inequalityrelaxed controlstrict control

Mathematics Subject Classification ID

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

Cites Work

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Cited In (14)

• Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions
• On the LP formulation in measure spaces of optimal control problems for jump-diffusions
• Title not available (Why is that?)
• Necessary and Sufficient Optimality Conditions for Relaxed and Strict Control Problems
• Title not available (Why is that?)
• The relaxed optimal control problem for mean-field SDEs systems and application
• On optimal control problem for backward stochastic doubly systems
• Stochastic near-optimal singular controls for jump diffusions: necessary and sufficient conditions
• Near-relaxed control problem of fully coupled forward-backward doubly system
• Optimality for controlled jump processes: A simple approach
• Necessary condition for optimality of forward-backward doubly system
• The general relaxed control problem of fully coupled forward-backward doubly system
• Diffusive limit approximation of pure-jump optimal stochastic control problems
• Jump-diffusions with controlled jumps: Existence and numerical methods

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