Please use this identifier to cite or link to this item:
|Title:||Optimality conditions for partial information stochastic control problems driven by Lévy processes|
|Keywords:||Stochastic differential equation; Optimal control; Maximum principle; Partial information; Lévy processes; Teugels martingale.|
|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 http://www.sciencedirect.com.www.sndl1.arn.dz/science/article/pii/S0167691112001582?np=y|
|Appears in Collections:||Publications Internationales|
Files in This Item:
|Optimality conditions for partial information stochastic control problems driven by Lévy processes.pdf||35,07 kB||Adobe PDF||View/Open|
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.