On maximum principle of near-optimality for diffusions with jumps, with application to consumption-investment problem

DOI10.1007/s12591-012-0108-8zbMath1261.49004MaRDI QIDQ691358

Petr Veverka, Mokhtar Hafayed, Syed Abbas

Publication date: 30 November 2012

Published in: Differential Equations and Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12591-012-0108-8

zbMATH Keywords

first-order necessary conditions; stochastic maximum principle; Ekeland's variational principle; consumption-investment problem; controlled diffusion with jumps; near-optimal stochastic control

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness

49J55: Existence of optimal solutions to problems involving randomness

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