On Near-optimal Necessary and Sufficient Conditions for Forward-backward Stochastic Systems with Jumps, with Applications to Finance
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F14%3A00209299" target="_blank" >RIV/68407700:21340/14:00209299 - isvavai.cz</a>
Result on the web
<a href="http://am.math.cas.cz/full/59/4/am59_4_4.pdf" target="_blank" >http://am.math.cas.cz/full/59/4/am59_4_4.pdf</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s10492-014-0064-4" target="_blank" >10.1007/s10492-014-0064-4</a>
Alternative languages
Result language
angličtina
Original language name
On Near-optimal Necessary and Sufficient Conditions for Forward-backward Stochastic Systems with Jumps, with Applications to Finance
Original language description
In this paper, we establish necessary and sufficient conditions of near-optimality for nonlinear systems governed by Forward-backward stochas- tic differential equations with controlled jump processes (FBSDEJs in short). The set of controls under consideration is necessarily convex. The proof of our result is based on Ekeland's variational principle and continuity in some sense of the state and adjoint processes with respect to the control variable. We prove that under an additional hypothesis, the near-maximum condition on the Hamiltonian function is a sufficient condition for near-optimality. At the end, as an application to finance, mean-variance portfolio selection mixed with a recursive utility optimization problem is given.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Applications of Mathematics
ISSN
0862-7940
e-ISSN
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Volume of the periodical
59
Issue of the periodical within the volume
4
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
34
Pages from-to
407-440
UT code for WoS article
000339821600004
EID of the result in the Scopus database
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