Near optimality conditions in stochastic control of jump diffusion processes

Please use this identifier to cite or link to this item: http://archives.univ-biskra.dz/handle/123456789/2865

Full metadata record

DC Field	Value	Language
dc.contributor.author	Farid Chighoub	-
dc.contributor.author	Brahim Mezerdi	-
dc.date.accessioned	2014-05-21T02:44:17Z	-
dc.date.available	2014-05-21T02:44:17Z	-
dc.date.issued	2014-05-21	-
dc.identifier.uri	http://archives.univ-biskra.dz/handle/123456789/2865	-
dc.description.abstract	This paper is concerned with necessary as well as sufficient conditions for near-optimality of controlled jump diffusion processes. Necessary conditions for a control to be near-optimal are derived, using Ekeland’s variational principle and some stability results on the state and adjoint processes, with respect to the control variable. In a second step, we show that the necessary conditions for near-optimality, are in fact sufficient for near-optimality provided some concavity conditions are fulfilled. Finally, as an illustration some examples are solved explicitly. Link http://www.sciencedirect.com.www.sndl1.arn.dz/science/article/pii/S0167691111001733?np=y	en_US
dc.language.iso	en	en_US
dc.subject	Diffusion with jumps; Maximum principle; Near-optimal control; Adjoint process.	en_US
dc.title	Near optimality conditions in stochastic control of jump diffusion processes	en_US
dc.type	Article	en_US
Appears in Collections:	Publications Internationales

Files in This Item:

File	Description	Size	Format
Near optimality conditions in stochastic control of jump diffusion processes_p.pdf		311,44 kB	Adobe PDF	View/Open