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A General Optimality Conditions for Stochastic Control Problems of Jump Diffusions
| Content Provider | Semantic Scholar |
|---|---|
| Author | Bahlali, Seid Chala, Adel |
| Copyright Year | 2012 |
| Abstract | 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. |
| Starting Page | 15 |
| Ending Page | 29 |
| Page Count | 15 |
| File Format | PDF HTM / HTML |
| DOI | 10.1007/s00245-011-9143-z |
| Volume Number | 65 |
| Alternate Webpage(s) | https://page-one.springer.com/pdf/preview/10.1007/s00245-011-9143-z |
| Alternate Webpage(s) | https://doi.org/10.1007/s00245-011-9143-z |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
