Optimality conditions for partial information stochastic control problems driven by Lévy processes

Please use this identifier to cite or link to this item: http://archives.univ-biskra.dz/handle/123456789/2869

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DC Field	Value	Language
dc.contributor.author	Khaled Bahlali	-
dc.contributor.author	Nabil Khelfallah	-
dc.contributor.author	Brahim Mezerdi	-
dc.date.accessioned	2014-05-21T02:55:23Z	-
dc.date.available	2014-05-21T02:55:23Z	-
dc.date.issued	2014-05-21	-
dc.identifier.uri	http://archives.univ-biskra.dz/handle/123456789/2869	-
dc.description.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	en_US
dc.language.iso	en	en_US
dc.subject	Stochastic differential equation; Optimal control; Maximum principle; Partial information; Lévy processes; Teugels martingale.	en_US
dc.title	Optimality conditions for partial information stochastic control problems driven by Lévy processes	en_US
dc.type	Article	en_US
Appears in Collections:	Publications Internationales

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