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.
Ekeland , Nonconvex minimization problems , Bulletin (New Series) of the American Mathematical Society, 1 (1979), 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.