Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
752227 | Systems & Control Letters | 2012 | 6 Pages |
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.
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Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
Khaled Bahlali, Nabil Khelfallah, Brahim Mezerdi,