A General Optimality Conditions for Stochastic Control Problems of Jump Diffusions

被引：4
|
作者：
Bahlali, Seid [1 ]
Chala, Adel [1 ]
机构：
[1] Univ Med Khider, Lab Appl Math, Biskra 07000, Algeria
来源：
APPLIED MATHEMATICS AND OPTIMIZATION | 2012年 / 65卷 / 01期
关键词：
Jump diffusion; Stochastic maximum principle; Strict control; Relaxed control; Adjoint equation; Variational inequality; MAXIMUM PRINCIPLE; RANDOM-COEFFICIENTS; SYSTEMS; FINANCE;
D O I：
10.1007/s00245-011-9143-z
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We consider a stochastic control problem where the system is governed by a non linear stochastic differential equation with jumps. The control is allowed to enter into both diffusion and jump terms. By only using the first order expansion and the associated adjoint equation, we establish necessary as well as sufficient optimality conditions of controls for relaxed controls, who are a measure-valued processes.
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页码：15 / 29
页数：15
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