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Amel Redjil

Publications and source records attributed to Amel Redjil.

3 recordsLinked to original sources
arXiv2022

Existence of relaxed optimal control for G-neutral stochastic functional differential equations with uncontrolled diffusion

In this paper, we study the question of existence and uniqueness of solution of neutral stochastic functional differential equations driven by G- Brownian motion (GNSFDEs in short) on Banach space driven by relaxed controls in which the neutral term and diffusion do not depend on the control variable. By using tightness techniques and the weak convergence techniques for each probability measure in the set of all possible probabilities of our dynamic, we prove the existence of an optimal relaxed control. A motivation of are work is presented and a Numerical analysis for the uncontrolled G-NSFDE is given.

math.PR↗
arXiv2021

The relaxed maximum principle for G-stochastic control systems with controlled jumps

This paper is concerned with optimal control of systems driven by G-stochastic differential equations (G-SDEs), with controlled jump term. We study the relaxed problem, in which admissible controls are measurevalued processes and the state variable is governed by an G-SDE driven by a counting measure valued process called relaxed Poisson measure such that the compensator is a product measure. Under some conditions on the coefficients, using the G-chattering lemma, we show that the strict and the relaxed control problems have the same value function. Additionally, we derive a maximum principle for this relaxed problem.

math.OC↗