The relaxed maximum principle for G-stochastic control systems with controlled jumps
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Publication:6382012
arXiv2111.01895MaRDI QIDQ6382012FDOQ6382012
Authors: Hanane Ben Gherbal, Amel Redjil, Omar Kebiri 
Publication date: 2 November 2021
Abstract: This paper is concerned with optimal control of systems driven by G-stochastic differential equations (G-SDEs), with controlled jump term. We study the relaxed problem, in which admissible controls are measurevalued processes and the state variable is governed by an G-SDE driven by a counting measure valued process called relaxed Poisson measure such that the compensator is a product measure. Under some conditions on the coefficients, using the G-chattering lemma, we show that the strict and the relaxed control problems have the same value function. Additionally, we derive a maximum principle for this relaxed problem.
Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
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