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http://archives.univ-biskra.dz/handle/123456789/2869| Title: | Optimality conditions for partial information stochastic control problems driven by Lévy processes |
| Authors: | Khaled Bahlali Nabil Khelfallah Brahim Mezerdi |
| Keywords: | Stochastic differential equation; Optimal control; Maximum principle; Partial information; Lévy processes; Teugels martingale. |
| Issue Date: | 21-May-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 http://www.sciencedirect.com.www.sndl1.arn.dz/science/article/pii/S0167691112001582?np=y |
| URI: | http://archives.univ-biskra.dz/handle/123456789/2869 |
| Appears in Collections: | Publications Internationales |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Optimality conditions for partial information stochastic control problems driven by Lévy processes.pdf | 35,07 kB | Adobe PDF | View/Open |
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