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

DOI10.1016/j.sysconle.2012.08.005zbMath1252.49037MaRDI QIDQ694793

Khaled Bahlali, Brahim Mezerdi, Nabil Khelfallah

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

zbMATH Keywords

optimal control; maximum principle; stochastic differential equation; Lévy processes; partial information; Teugels martingale

Mathematics Subject Classification ID

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

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness

Related Items

The maximum principle for partially observed optimal control of FBSDE driven by Teugels martingales and independent Brownian motion, Partial information stochastic differential games for backward stochastic systems driven by Lévy processes, Infinite horizon optimal control of forward–backward stochastic system driven by Teugels martingales with Lévy processes

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