Pointwise Second-Order Necessary Conditions for Stochastic Optimal Control with Jump Diffusions

被引：0
作者：
Abdelhak Ghoul
Mokhtar Hafayed
Imad Eddine Lakhdari
Shahlar Meherrem
机构：
[1] University of Biskra,Laboratory of Mathematical Analysis, Probabilities and Optimizations
[2] Yasar University,Department of Mathematics
来源：
Communications in Mathematics and Statistics | 2023年 / 11卷
关键词：
Optimal control; Stochastic systems with jumps; Pointwise second-order necessary condition; Maximum principle; Variational equation; 93E20; 60H10;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we establish a second-order necessary conditions for stochastic optimal control for jump diffusions. The controlled system is described by a stochastic differential systems driven by Poisson random measure and an independent Brownian motion. The control domain is assumed to be convex. Pointwise second-order maximum principle for controlled jump diffusion in terms of the martingale with respect to the time variable is proved. The proof of the main result is based on variational approach using the stochastic calculus of jump diffusions and some estimates on the state processes.
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页码：741 / 766
页数：25
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