کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
752344 | 895416 | 2011 | 10 صفحه PDF | دانلود رایگان |
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.
► We consider optimal control of jump diffusion processes.
► Necessary conditions for near optimality are investigated.
► These conditions are shown to be sufficient under some additional convexity assumptions.
Journal: Systems & Control Letters - Volume 60, Issue 11, November 2011, Pages 907–916