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

Differential Equations and Dynamical Systems

Volumn 20, Issue 2, 2012, Pages 111-125

  Hafayed, Mokhtar ^a   Veverka, Petr ^b   Abbas, Syed ^c  

^a UNIVERSITY OF BISKRA   (Algeria)

^b CZECH TECHNICAL UNIVERSITY IN PRAGUE   (Czech Republic)

^c INDIAN INSTITUTE OF TECHNOLOGY MANDI   (India)

Author keywords

Consumption investment problem; Controlled diffusion with jumps; Convex perturbation; Ekeland's variational principle; First order necessary conditions; Near optimal stochastic control

Indexed keywords

EID: 84870378909     PISSN: 09713514     EISSN: 09746870     Source Type: Journal    
DOI: 10.1007/s12591-012-0108-8     Document Type: Article

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