On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance.
DOI10.1007/S10492-014-0064-4zbMATH Open1340.60084OpenAlexW1968734542MaRDI QIDQ464722FDOQ464722
Authors: Mokhtar Hafayed, Petr Veverka, Syed Abbas 
Publication date: 29 October 2014
Published in: Applications of Mathematics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10338.dmlcz/143872
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Ekeland's variational principlejump processesforward-backward stochastic systems with jumpsnecessary and sufficient conditions for near-optimalitystochastic near-optimal controls
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 (10)
- Stochastic linear quadratic control problem of switching systems with constraints
- Necessary and sufficient conditions for near-optimality of stochastic delay systems
- Necessary conditions for optimal control of forward-backward stochastic systems with random jumps
- Arrow sufficient conditions for optimality of fully coupled forward-backward stochastic differential equations with applications to finance
- Maximum principle for near-optimality of stochastic delay control problem
- Near-optimal control of stochastic recursive systems via viscosity solution
- Sufficient Conditions of Optimality for Forward-Backward Doubly SDEs with Jumps
- Necessary condition for near optimal control of linear forward-backward stochastic differential equations
- Stochastic near-optimal controls for treatment and vaccination in a COVID-19 model with transmission incorporating Lévy jumps
- Non-smooth analysis method in optimal investment-BSDE approach
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