Optimality conditions for optimal control of jump-diffusion SDEs with correlated observations noises

zbMATH Open1299.49029MaRDI QIDQ473885FDOQ473885

Authors: Hua Xiao 

Publication date: 24 November 2014

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

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Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Cited In (6)

• Necessary conditions for partially observed optimal control of general McKean–Vlasov stochastic differential equations with jumps
• Optimal control of forward-backward stochastic jump-diffusion differential systems with observation noises: stochastic maximum principle
• Optimality conditions by means of the generalized HJB equation
• Sufficient epsilon-optimality conditions for jump-diffusion systems
• A note on a new approach to both price and volatility jumps: an application to the portfolio model
• The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps

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