A general optimality conditions for stochastic control problems of jump diffusions

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DC Field	Value	Language
dc.contributor.author	Seid Bahlali	-
dc.contributor.author	Adel Chala	-
dc.date.accessioned	2014-04-18T11:29:41Z	-
dc.date.available	2014-04-18T11:29:41Z	-
dc.date.issued	2014-04-18	-
dc.identifier.uri	http://archives.univ-biskra.dz/handle/123456789/2340	-
dc.description.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. DOI: 10.1007/s00245-011-9143-z Link http://link.springer.com/article/10.1007%2Fs00245-011-9143-z	en_US
dc.language.iso	en	en_US
dc.subject	Jump diffusion, Stochastic maximum principle, Strict control, Relaxed control, Adjoint equation, Variational inequality	en_US
dc.title	A general optimality conditions for stochastic control problems of jump diffusions	en_US
dc.type	Article	en_US
Appears in Collections:	Publications Internationales

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