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 principleforward-backward stochastic systems with jumpsjump processesnecessary and sufficient conditions for near-optimalitystochastic near-optimal controls

Mathematics Subject Classification ID

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

Review text

The authors' aim is to establish necessary and sufficient conditions for near-optimality for systems governed by nonlinear forward-backward stochastic differential systems with jumps where the control variable appears both in the diffusion and jump coefficients. The proof of their result is based on Ekeland's variational principle and they prove that under some additional assumptions the necessary conditions are also sufficient for near-optimality. As an application to finance, the mean-variance portfolio selection mixed problem is provided.

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Cited in

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• Maximum principle for near-optimality of stochastic delay control problem
• Near-optimal control of stochastic recursive systems via viscosity solution
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• Stochastic linear quadratic control problem of switching systems with constraints
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• Necessary and sufficient conditions for near-optimality of stochastic delay systems
• Stochastic near-optimal controls for treatment and vaccination in a COVID-19 model with transmission incorporating Lévy jumps
• Dynamical analysis and near-optimal control strategy of a stochastic carbon emissions model

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