Necessary and sufficient optimality conditions are established for jump-diffusion stochastic control problems with threshold-induced discontinuous drifts via Sobolev representations, smooth approximations, and Ekeland's variational principle.
Bismut , An introductory approach to duality in optimal stochastic control , SIAM Review, 20 (1978), pp
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Stochastic Optimal Control for Jump Diffusion Models with Singular Drifts
Necessary and sufficient optimality conditions are established for jump-diffusion stochastic control problems with threshold-induced discontinuous drifts via Sobolev representations, smooth approximations, and Ekeland's variational principle.