On Maximum Principle of Near-optimality for Diffusions with Jumps, with Application to Consumption-Investment Problem

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DC Field	Value	Language
dc.contributor.author	Mokhtar Hafayed	-
dc.contributor.author	Petr Veverka	-
dc.contributor.author	Syed Abbas	-
dc.date.accessioned	2014-04-11T15:48:09Z	-
dc.date.available	2014-04-11T15:48:09Z	-
dc.date.issued	2014-04-11	-
dc.identifier.uri	http://archives.univ-biskra.dz/handle/123456789/2275	-
dc.description.abstract	In the present article, we prove a maximum principle for near-optimal stochastic controls for system driven by a nonlinear stochastic differential equations (SDEs in short) with jump processes. The set of controls under consideration is necessarily convex. The proof of our result is based on Ekeland’s variational principle. Link http://link.springer.com/article/10.1007%2Fs12591-012-0108-8	en_US
dc.subject	First-order necessary conditions ; Near-optimal stochastic control ; Controlled diffusion with jumps ; Consumption-inve stment problem ; Ekeland’s variational principle ; Convex perturbation.	en_US
dc.title	On Maximum Principle of Near-optimality for Diffusions with Jumps, with Application to Consumption-Investment Problem	en_US
dc.type	Article	en_US
Appears in Collections:	Publications Internationales

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