Near-Optimality in Stochastic Control of an Capital Accumulation System with Markovian Switching and Poisson Jumps

Ya Ting Liu; Qi Min Zhang

doi:10.4028/www.scientific.net/AMM.300-301.627

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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vols. 300-301Near-Optimality in Stochastic Control of an...

Near-Optimality in Stochastic Control of an Capital Accumulation System with Markovian Switching and Poisson Jumps

Abstract:

We introduce a class of stochastic capital system with Marvokian switching and Poisson jumps, establish necessary condition for near-optimality. The proof of the main results is based on Ito's formula, Ekeland's variational principle and some estimates on the state and the adjoint process with respect to the control variable.

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Periodical:

Applied Mechanics and Materials (Volumes 300-301)

Pages:

627-630

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.300-301.627

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Online since:

February 2013

Authors:

Ya Ting Liu, Qi Min Zhang

Keywords:

Markovian Switching, Near-Optimality, Poisson Jumps, Stochastic Control

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References

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