SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Near optimality conditions in stochastic control of jump diffusion processes · Study

ArticleShelves

ArticleNear optimality conditions in stochastic control of jump diffusion processes

Farid Chighoub2011

Article2011

Near optimality conditions in stochastic control of jump diffusion processes

Farid Chighoub · Brahim Mezerdi

20 citations·0/0 files stored·Systems & Control Letters

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Nonlinear Differential Equations Analysis Optimization and Variational Analysis

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 20 citations exist upstream.

References

2005Applied Stochastic Control of Jump Diffusions 1990A General Stochastic Maximum Principle for Optimal Control Problems 2007Applied Stochastic Control of Jump Diffusions 1997Backward stochastic differential equations and integral-partial differential equations 1994Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps 2006Backward stochastic differential equations with jumps and related non-linear expectations 2006Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging 2004Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance

Cited by

2012On necessary and sufficient conditions for near-optimal singular stochastic controls 2011On Necessary and Sufficient Conditions for Near-Optimal Singular Stochastic Controls

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

20088 Backward SDEs with constrained jumps and Quasi-Variational Inequalitiesarticle · 6 shared references 2013Maximum principles for jump diffusion processes with infinite horizonarticle · 6 shared references 2013On mean-field stochastic maximum principle for near-optimal controls for Poisson jump diffusion with applicationsarticle · 6 shared references 2012On Maximum Principle of Near-optimality for Diffusions with Jumps, with Application to Consumption-Investment Problemarticle · 6 shared references 2015Convergence of BS Δ Es driven by random walks to BSDEs: The case of (in)finite activity jumps with general driverarticle · 6 shared references 2014Maximum principle for mean-field jump–diffusion stochastic delay differential equations and its application to financearticle · 5 shared references

Details

Year2011

Typearticle

Published2011-09-29

VenueSystems & Control Letters

ISSN-L0167-6911

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.sysconle.2011.07.009

openalex_workW2052421796

Links

Imported from OpenAlex (CC0) — nothing here is generated.