Necessary and sufficient conditions for optimal control of stochastic systems associated with Lévy processes
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Publication:848401
DOI10.1007/s11432-009-0191-9zbMath1182.49023MaRDI QIDQ848401
Publication date: 3 March 2010
Published in: Science in China. Series F (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11432-009-0191-9
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
49K45: Optimality conditions for problems involving randomness
Related Items
Optimal variational principle for backward stochastic control systems associated with Lévy processes, Optimality conditions for partial information stochastic control problems driven by Lévy processes
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