On Maximum Principle of Near-optimality for Diffusions with Jumps, with Application to Consumption-Investment Problem

摘要

In the present article, we prove a maximum principle for near-optimal stochastic controls for system driven by a nonlinear stochastic differential equations (SDEs in short) with jump processes. The set of controls under consideration is necessarily convex. The proof of our result is based on Ekeland's variational principle.