A general optimality conditions for stochastic control problems of jump diffusions

DOI10.1007/s00245-011-9143-zzbMath1242.49055MaRDI QIDQ434355

Adel Chala, Seid Bahlali

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

variational inequality; stochastic maximum principle; adjoint equation; relaxed control; jump diffusion; strict control

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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