The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps

Autor:	Song, Yuanzhuo, Tang, Shanjian, Wu, Zhen
Rok vydání:	2019
Předmět:	Mathematics - Optimization and Control
Druh dokumentu:	Working Paper
Popis:	In this paper, we obtain the maximum principle for optimal controls of stochastic systems with jumps by introducing a new method of variation. The control is allowed to enter both diffusion and jump term and the control domain need not to be convex.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1904.00636 Zobrazit plný text záznamu View this record from Arxiv