Pointwise Second-Order Necessary Conditions for Stochastic Optimal Control with Jump Diffusions
| dc.contributor.author | Abdelhak Ghoul | |
| dc.contributor.author | Mokhtar Hafayed | |
| dc.contributor.author | Imad Eddine Lakhdari | |
| dc.contributor.author | Shahlar Meherrem | |
| dc.contributor.author | Ghoul, Abdelhak | |
| dc.contributor.author | Hafayed, Mokhtar | |
| dc.contributor.author | Lakhdari, Imad Eddine | |
| dc.contributor.author | Meherrem, Shahlar | |
| dc.date.accessioned | 2025-10-06T17:49:20Z | |
| dc.date.issued | 2023 | |
| dc.description.abstract | In this paper we establish a second-order necessary conditions for stochastic optimal control for jump diffusions. The controlled system is described by a stochastic differential systems driven by Poisson random measure and an independent Brownian motion. The control domain is assumed to be convex. Pointwise second-order maximum principle for controlled jump diffusion in terms of the martingale with respect to the time variable is proved. The proof of the main result is based on variational approach using the stochastic calculus of jump diffusions and some estimates on the state processes. © 2023 Elsevier B.V. All rights reserved. | |
| dc.identifier.doi | 10.1007/s40304-021-00272-5 | |
| dc.identifier.issn | 21946701, 2194671X | |
| dc.identifier.issn | 2194-6701 | |
| dc.identifier.issn | 2194-671X | |
| dc.identifier.scopus | 2-s2.0-85137016745 | |
| dc.identifier.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85137016745&doi=10.1007%2Fs40304-021-00272-5&partnerID=40&md5=2c556bba5618a2c04709612d64a420d7 | |
| dc.identifier.uri | https://gcris.yasar.edu.tr/handle/123456789/8384 | |
| dc.identifier.uri | https://doi.org/10.1007/s40304-021-00272-5 | |
| dc.language.iso | English | |
| dc.publisher | Springer Science and Business Media Deutschland GmbH | |
| dc.relation.ispartof | Communications in Mathematics and Statistics | |
| dc.rights | info:eu-repo/semantics/closedAccess | |
| dc.source | Communications in Mathematics and Statistics | |
| dc.subject | Maximum Principle, Optimal Control, Pointwise Second-order Necessary Condition, Stochastic Systems With Jumps, Variational Equation | |
| dc.subject | Optimal Control | |
| dc.subject | Pointwise Second-Order Necessary Condition | |
| dc.subject | Variational Equation | |
| dc.subject | Stochastic Systems with Jumps | |
| dc.subject | Maximum Principle | |
| dc.title | Pointwise Second-Order Necessary Conditions for Stochastic Optimal Control with Jump Diffusions | |
| dc.type | Article | |
| dspace.entity.type | Publication | |
| gdc.author.id | Lakhdari, Imad Eddine/0000-0002-1757-5762 | |
| gdc.author.id | Ghoul, Abd El Hak/0009-0006-2822-9386 | |
| gdc.author.id | Hafayed, Mokhtar/0000-0002-8915-9530 | |
| gdc.author.scopusid | 36245200100 | |
| gdc.author.scopusid | 57217831964 | |
| gdc.author.scopusid | 55646944800 | |
| gdc.author.scopusid | 57868961000 | |
| gdc.author.wosid | Meherrem, Shahlar/G-6278-2018 | |
| gdc.author.wosid | Hafayed, Mokhtar/W-7150-2019 | |
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| gdc.description.departmenttemp | [Ghoul, Abdelhak; Hafayed, Mokhtar; Lakhdari, Imad Eddine] Univ Biskra, Lab Math Anal Probabil & Optimizat, POB 145, Biskra 07000, Algeria; [Meherrem, Shahlar] Yasar Univ, Dept Math, Univ Ave,Agacli Yol 35-57, Izmir, Turkey | |
| gdc.description.endpage | 766 | |
| gdc.description.issue | 4 | |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | |
| gdc.description.startpage | 741 | |
| gdc.description.volume | 11 | |
| gdc.description.woscitationindex | Science Citation Index Expanded | |
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| gdc.oaire.keywords | optimal control | |
| gdc.oaire.keywords | stochastic systems with jumps | |
| gdc.oaire.keywords | maximum principle | |
| gdc.oaire.keywords | Jump processes on discrete state spaces | |
| gdc.oaire.keywords | variational equation | |
| gdc.oaire.keywords | Optimal stochastic control | |
| gdc.oaire.keywords | Applications of stochastic analysis (to PDEs, etc.) | |
| gdc.oaire.keywords | pointwise second-order necessary condition | |
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| gdc.virtual.author | Meherrem, Şahlar | |
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| oaire.citation.endPage | 766 | |
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| person.identifier.scopus-author-id | Ghoul- Abdelhak (57868961000), Hafayed- Mokhtar (36245200100), Lakhdari- Imad Eddine (57217831964), Meherrem- Shahlar (55646944800) | |
| project.funder.name | The authors are particularly grateful to the associate editor and the anonymous referees for their constructive corrections and suggestions which helped us improve the manuscript considerably | |
| publicationissue.issueNumber | 4 | |
| publicationvolume.volumeNumber | 11 | |
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