About: On Near-optimal Necessary and Sufficient Conditions for Forward-backward Stochastic Systems with Jumps, with Applications to Finance

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://am.math.cas.cz/full/59/4/am59_4_4.pdf
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. 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. (en)
Title	On Near-optimal Necessary and Sufficient Conditions for Forward-backward Stochastic Systems with Jumps, with Applications to Finance On Near-optimal Necessary and Sufficient Conditions for Forward-backward Stochastic Systems with Jumps, with Applications to Finance (en)
skos:prefLabel	On Near-optimal Necessary and Sufficient Conditions for Forward-backward Stochastic Systems with Jumps, with Applications to Finance On Near-optimal Necessary and Sufficient Conditions for Forward-backward Stochastic Systems with Jumps, with Applications to Finance (en)
skos:notation	RIV/68407700:21340/14:00209299!RIV15-MSM-21340___
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...iv/cisloPeriodika	4
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Veverka, Petr
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	České vysoké učení technické v Praze / Fakulta jaderná a fyzikálně inženýrská
http://linked.open...dnocenehoVysledku	34329
http://linked.open...ai/riv/idVysledku	RIV/68407700:21340/14:00209299
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Stochastic near-optimal controls; Jump processes; Forward-backward stochastic systems with jumps; Necessary and sufficient conditions for near-optimality; Ekeland's variational principle (en)
http://linked.open.../riv/klicoveSlovo	Forward-backward stochastic systems with jumps Jump processes Necessary and sufficient conditions for near-optimality Stochastic near-optimal controls Ekeland's variational principle
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[27D4D7689059]
http://linked.open...i/riv/nazevZdroje	Applications of Mathematics
http://linked.open...in/vavai/riv/obor	BA
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...UplatneniVysledku	2014
http://linked.open...v/svazekPeriodika	59
http://linked.open...iv/tvurceVysledku	Abbas, S. Veverka, Petr Hafayed, M.
http://linked.open...ain/vavai/riv/wos	000339821600004
issn	0862-7940
number of pages	34 (xsd:int)
http://bibframe.org/vocab/doi	10.1007/s10492-014-0064-4
http://localhost/t...ganizacniJednotka	21340

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