Near optimality conditions in stochastic control of jump diffusion processes
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- scientific article; zbMATH DE number 6506943
Cites work
- scientific article; zbMATH DE number 50640 (Why is no real title available?)
- A General Stochastic Maximum Principle for Optimal Control Problems
- A Maximum Principle for Stochastic Control with Partial Information
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- Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
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- Nonconvex minimization problems
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- Optimal control of a jump process
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- Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality
- Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
- The maximum principle for optimal control of diffusions with non-smooth coefficients
- The variational principle and stochastic optimal control
Cited in
(33)- Near-optimal stochastic control for radiotherapy treatment in a random cancer model
- Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions
- Necessary and sufficient conditions of near-optimality in a regime-switching diffusion model
- Calibration of a Jump-Diffusion Process Using Optimal Control
- Necessary and sufficient conditions for near-optimality of stochastic delay systems
- On the LP formulation in measure spaces of optimal control problems for jump-diffusions
- Near-maximum principle for general recursive utility optimal control problem
- Applied stochastic control of jump diffusions
- scientific article; zbMATH DE number 6506943 (Why is no real title available?)
- A general optimality conditions for stochastic control problems of jump diffusions
- Optimality conditions by means of the generalized HJB equation
- A necessary condition for the optimal approximating control in a stochastic capital accumulation system with Poisson jumps
- Sufficient epsilon-optimality conditions for jump-diffusion systems
- On near-optimal mean-field stochastic singular controls: necessary and sufficient conditions for near-optimality
- On maximum principle of near-optimality for diffusions with jumps, with application to consumption-investment problem
- Stochastic near-optimal singular controls for jump diffusions: necessary and sufficient conditions
- A revisit to stochastic near-optimal controls: the critical case
- scientific article; zbMATH DE number 3923820 (Why is no real title available?)
- Optimality conditions for optimal control of jump-diffusion SDEs with correlated observations noises
- Deterministic near-optimal control. I: Necessary and sufficient conditions for near-optimality
- Optimality for controlled jump processes: A simple approach
- Optimal control problem associated with jump processes
- Near-optimality conditions in stochastic control of linear fully coupled FBSDEs
- Diffusive limit approximation of pure-jump optimal stochastic control problems
- Maximum principle for near-optimality of stochastic delay control problem
- Near-optimal control of stochastic recursive systems via viscosity solution
- Near-optimality conditions in mean-field control models involving continuous and impulse controls
- A stochastic maximum principle in mean-field optimal control problems for jump diffusions
- Stochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equation
- Necessary condition for near optimal control of linear forward-backward stochastic differential equations
- On necessary and sufficient conditions for near-optimal singular stochastic controls
- Optimization of stochastic jump diffusion systems nonlinear in the control
- Stochastic near-optimal controls for treatment and vaccination in a COVID-19 model with transmission incorporating Lévy jumps
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