Near optimality conditions in stochastic control of jump diffusion processes

被引：16

作者：

Chighoub, Farid ^{[1
]}

Mezerdi, Brahim ^{[1
]}

机构：

[1] Univ Mohamed Khider, Lab Appl Math, Biskra 07000, Algeria

来源：

SYSTEMS & CONTROL LETTERS | 2011年 / 60卷 / 11期

关键词：

Diffusion with jumps; Maximum principle; Near-optimal control; Adjoint process; MAXIMUM PRINCIPLE; DIFFERENTIAL-EQUATIONS; SUFFICIENT CONDITIONS; NEAR-OPTIMALITY;

D O I：

10.1016/j.sysconle.2011.07.009

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：907 / 916

页数：10

共 50 条

[41] OPTIMIZATION OF STOCHASTIC DIFFUSION-SYSTEMS WITH CONSTRAINTS ON THE CONTROL OBSERVATION PROCESS .2. NECESSARY CONDITIONS OF OPTIMALITY
SAVASTYUK, SV
KHRUSTALEV, MM
AUTOMATION AND REMOTE CONTROL, 1991, 52 (08) : 1109 - 1114
[42] Maximum principle for near-optimality of stochastic delay control problem
Feng Zhang
Advances in Difference Equations, 2017
[43] Maximum principle for near-optimality of stochastic delay control problem
Zhang, Feng
ADVANCES IN DIFFERENCE EQUATIONS, 2017,
[44] Controlled stochastic jump processes
Piunovskiy, A. B.
COMMUNICATION AND MANAGEMENT IN TECHNOLOGICAL INNOVATION AND ACADEMIC GLOBALIZATION, 2010, : 21 - 21
[45] On stochastic completeness of jump processes
Grigor'yan, Alexander
Huang, Xueping
Masamune, Jun
MATHEMATISCHE ZEITSCHRIFT, 2012, 271 (3-4) : 1211 - 1239
[46] On the conditions of stochastic optimality in probability and almost surely in the model of controlled diffusion process
Belkina, T.A.
Rotar', V.I.
Avtomatika i Telemekhanika, 1999, (02): : 46 - 56
[47] On stochastic completeness of jump processes
Alexander Grigor’yan
Xueping Huang
Jun Masamune
Mathematische Zeitschrift, 2012, 271 : 1211 - 1239
[48] ANOTHER SET OF CONDITIONS FOR AVERAGE OPTIMALITY IN MARKOV CONTROL PROCESSES
SENNOTT, LI
SYSTEMS & CONTROL LETTERS, 1995, 24 (02) : 147 - 151
[49] AN IMPULSE CONTROL POLICY FOR A CLASS OF JUMP DIFFUSION-PROCESSES
YAVIN, Y
INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE, 1980, 11 (03) : 309 - 321
[50] Control Improvement for Jump-Diffusion Processes with Applications to Finance
Baeuerle, Nicole
Rieder, Ulrich
APPLIED MATHEMATICS AND OPTIMIZATION, 2012, 65 (01): : 1 - 14

← 1 2 3 4 5 →