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

DOI10.1007/s10492-014-0064-4zbMath1340.60084OpenAlexW1968734542MaRDI QIDQ464722

Petr Veverka, Mokhtar Hafayed, 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

jump processesEkeland's variational principleforward-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) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (5)

Stochastic linear quadratic control problem of switching systems with constraints ⋮ Maximum principle for near-optimality of stochastic delay control problem ⋮ Near-optimal control of stochastic recursive systems via viscosity solution ⋮ Necessary and sufficient conditions for near-optimality of stochastic delay systems ⋮ Necessary condition for near optimal control of linear forward–backward stochastic differential equations

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