On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance.

DOI10.1007/S10492-014-0064-4MaRDI QIDQ464722zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Ekeland's variational principlejump processesforward-backward stochastic systems with jumpsnecessary and sufficient conditions for near-optimalitystochastic near-optimal controls

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

(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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