A General Optimality Conditions for Stochastic Control Problems of Jump Diffusions

A General Optimality Conditions for Stochastic Control Problems of Jump Diffusions 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

A General Optimality Conditions for Stochastic Control Problems of Jump Diffusions

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Publisher
Springer-Verlag
Copyright
Copyright © 2012 by Springer Science+Business Media, LLC
Subject
Mathematics; Mathematical Methods in Physics; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Calculus of Variations and Optimal Control; Optimization; Numerical and Computational Physics
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-011-9143-z
Publisher site
See Article on Publisher Site

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