A general optimality conditions for stochastic control problems of jump diffusions

DOI10.1007/S00245-011-9143-ZzbMATH1242.49055OpenAlexW2085634202MaRDI 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

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)

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Cited in

(23)

• Optimization of stochastic jump diffusion systems nonlinear in the control
• On optimal control problem for backward stochastic doubly systems
• Diffusive limit approximation of pure-jump optimal stochastic control problems
• Jump-diffusions with controlled jumps: Existence and numerical methods
• The relaxed stochastic maximum principle in optimal control of diffusions with controlled jumps
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• Necessary condition for optimality of forward-backward doubly system
• scientific article; zbMATH DE number 3943693 (Why is no real title available?)
• On the LP formulation in measure spaces of optimal control problems for jump-diffusions
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• Stochastic minimum principle for partially observed systems subject to continuous and jump diffusion processes and driven by relaxed controls
• Necessary and Sufficient Optimality Conditions for Relaxed and Strict Control Problems
• Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions
• Optimality conditions by means of the generalized HJB equation
• Sufficient epsilon-optimality conditions for jump-diffusion systems
• Optimality conditions for optimal control of jump-diffusion SDEs with correlated observations noises
• Optimality for controlled jump processes: A simple approach
• The relaxed optimal control problem for mean-field SDEs systems and application

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