A General Stochastic Maximum Principle For Optimal Control Of Stochastic Systems Driven By Multidimensional Teugel's Martingales

Jianzhong Lin

A General Stochastic Maximum Principle For Optimal Control Of Stochastic Systems Driven By Multidimensional Teugel's Martingales

Optimization and Control 2012-05-30 v1 Probability

Authors: Jianzhong Lin

Abstract

A necessary maximum principle is proved for optimal controls of stochastic systems driven by multidimensional Teugel's martingales. The multidimensional Teugel's martingales are constructed by orthogonalizing the multidimensional L\'{e}vy processes. The control domain need not be convex, and the control is allowed to enter into the terms of Teugel's martingales.

Keywords

stochastic maximum principle optimal control Teugel's martingales Lévy processes multidimensional martingales non-convex control domain

Cite

@article{arxiv.1205.6315,
  title  = {A General Stochastic Maximum Principle For Optimal Control Of Stochastic Systems Driven By Multidimensional Teugel's Martingales},
  author = {Jianzhong Lin},
  journal= {arXiv preprint arXiv:1205.6315},
  year   = {2012}
}