Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 907-916 |
| Number of pages | 10 |
| Journal | Systems and Control Letters |
| Volume | 60 |
| Issue number | 11 |
| DOIs | |
| State | Published - Nov 2011 |
| Externally published | Yes |
Keywords
- Adjoint process
- Diffusion with jumps
- Maximum principle
- Near-optimal control
ASJC Scopus subject areas
- Control and Systems Engineering
- General Computer Science
- Mechanical Engineering
- Electrical and Electronic Engineering
Fingerprint
Dive into the research topics of 'Near optimality conditions in stochastic control of jump diffusion processes'. Together they form a unique fingerprint.Cite this
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver