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Title: Optimality conditions for partial information stochastic control problems driven by Lévy processes
Authors: K. Bahlali
N. Khelfallah
B. Mezerdi
Keywords: Stochastic differential equation; Optimal control; Maximum principle; Partial information; Lévy processes; Teugels martingale
Issue Date: 11-Apr-2014
Abstract: In this paper, we consider a partial information stochastic control problem where the system is governed by a nonlinear stochastic differential equation driven by Teugels martingales associated with some Lévy process and an independent Brownian motion. We prove optimality necessary conditions in the form of a maximum principle. These conditions turn out to be sufficient under some convexity assumptions. To illustrate the general results, an example is solved. Link
Appears in Collections:Publications Internationales

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