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.
Kunita, Stochastic differential equations and stochastic flows, in Stochastic Flows and Jump-Diffusions
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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.