Optimality conditions for partial information stochastic control problems driven by Lévy processes

Khaled Bahlali; Nabil Khelfallah; Brahim Mezerdi

doi:10.1016/j.sysconle.2012.08.005

Optimality conditions for partial information stochastic control problems driven by Lévy processes

Khaled Bahlali, Nabil Khelfallah, Brahim Mezerdi^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

4 Scopus citations

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.

Original language	English
Pages (from-to)	1079-1084
Number of pages	6
Journal	Systems and Control Letters
Volume	61
Issue number	11
DOIs	https://doi.org/10.1016/j.sysconle.2012.08.005
State	Published - Nov 2012
Externally published	Yes

Keywords

Lévy processes
Maximum principle
Optimal control
Partial information
Stochastic differential equation
Teugels martingale

ASJC Scopus subject areas

Control and Systems Engineering
General Computer Science
Mechanical Engineering
Electrical and Electronic Engineering

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10.1016/j.sysconle.2012.08.005

Cite this

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title = "Optimality conditions for partial information stochastic control problems driven by L{\'e}vy processes",

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 L{\'e}vy 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.",

keywords = "L{\'e}vy processes, Maximum principle, Optimal control, Partial information, Stochastic differential equation, Teugels martingale",

author = "Khaled Bahlali and Nabil Khelfallah and Brahim Mezerdi",

year = "2012",

month = nov,

doi = "10.1016/j.sysconle.2012.08.005",

language = "English",

volume = "61",

pages = "1079--1084",

journal = "Systems and Control Letters",

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}

TY - JOUR

T1 - Optimality conditions for partial information stochastic control problems driven by Lévy processes

AU - Bahlali, Khaled

AU - Khelfallah, Nabil

AU - Mezerdi, Brahim

PY - 2012/11

Y1 - 2012/11

N2 - 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.

AB - 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.

KW - Lévy processes

KW - Maximum principle

KW - Optimal control

KW - Partial information

KW - Stochastic differential equation

KW - Teugels martingale

UR - https://www.scopus.com/pages/publications/84866519567

U2 - 10.1016/j.sysconle.2012.08.005

DO - 10.1016/j.sysconle.2012.08.005

M3 - Article

AN - SCOPUS:84866519567

SN - 0167-6911

VL - 61

SP - 1079

EP - 1084

JO - Systems and Control Letters

JF - Systems and Control Letters

IS - 11

ER -

Optimality conditions for partial information stochastic control problems driven by Lévy processes

Abstract

Keywords

ASJC Scopus subject areas

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