On Maximum Principle of Near-optimality for Diffusions with Jumps, with Application to Consumption-Investment Problem

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F12%3A00192465" target="_blank" >RIV/68407700:21340/12:00192465 - isvavai.cz</a>
Result on the web
<a href="http://www.springerlink.com/content/a33633532h13ml42/fulltext.pdf" target="_blank" >http://www.springerlink.com/content/a33633532h13ml42/fulltext.pdf</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s12591-012-0108-8" target="_blank" >10.1007/s12591-012-0108-8</a>

Result language
angličtina
Original language name
On Maximum Principle of Near-optimality for Diffusions with Jumps, with Application to Consumption-Investment Problem
Original language description
In the present article, we prove a maximum principle for near-optimal stochastic controls for system driven by a nonlinear stochastic differential equations (SDEs in short) with jump processes. The set of controls under consideration is necessarily convex. The proof of our result is based on Ekeland's variational principle.
Czech name
—
Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
—

Project
<a href="/en/project/LG12020" target="_blank" >LG12020: Advanced statistical analysis and non-statistical separation techniques for physical processing detection in data sets sampled by means of elementary particle accelerators.</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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