Optimality Conditions for Optimal Control of Jump-Diffusion SDEs with Correlated Observations Noises

Hua Xiao

Mathematical Problems in Engineering, 2013, vol. 2013, 1-7

Abstract:

This paper is concerned with necessary and sufficient optimality conditions for optimal control of jump-diffusion stochastic differential equations. Compared with the existing literature, there are two distinguishing features: one is that the states are driven by Brownian motions and Poisson random measure; the other one is that the states and the observations are correlated. We derive a necessary and a sufficient conditions in the form of maximum principle when control domain is convex. A linear-quadratic example is worked out to illustrate the applications of the foregoing optimality conditions.

Date: 2013
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/MPE/2013/613159.pdf (application/pdf)
http://downloads.hindawi.com/journals/MPE/2013/613159.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:613159

DOI: 10.1155/2013/613159

Access Statistics for this article

More articles in Mathematical Problems in Engineering from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().