Optimality conditions for partial information stochastic control problems driven by Lévy processes

DOI10.1016/J.SYSCONLE.2012.08.005zbMATH Open1252.49037OpenAlexW2009057540MaRDI QIDQ694793FDOQ694793

Authors: Khaled Bahlali, Nabil Khelfallah, Brahim Mezerdi 

Publication date: 13 December 2012

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2012.08.005

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zbMATH Keywords

stochastic differential equationmaximum principleoptimal controlpartial informationTeugels martingaleLévy processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Cites Work

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Cited In (10)

• Partial information stochastic differential games for backward stochastic systems driven by Lévy processes
• The maximum principle for partially observed optimal control of FBSDE driven by Teugels martingales and independent Brownian motion
• On mean-field partial information maximum principle of optimal control for stochastic systems with Lévy processes
• On optimal control of mean-field stochastic systems driven by Teugels martingales via derivative with respect to measures
• On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures
• Some Remark on Optimal Stochastic Control with Partial Information
• Infinite horizon optimal control for mean-field stochastic delay systems driven by Teugels martingales under partial information
• A Maximum Principle for Stochastic Control with Partial Information
• Infinite horizon optimal control of forward-backward stochastic system driven by Teugels martingales with Lévy processes
• Singular stochastic control and optimal stopping with partial information of Itô-Lévy processes

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