Stochastic maximum principle for systems driven by local martingales with spatial parameters
Probability
2021-09-15 v2 Optimization and Control
Abstract
We consider the stochastic optimal control problem for the dynamical system of the stochastic differential equation driven by a local martingale with a spatial parameter. Assuming the convexity of the control domain, we obtain the stochastic maximum principle as the necessary condition for an optimal control, and we also prove its sufficiency under proper conditions. The stochastic linear quadratic problem in this setting is also discussed.
Cite
@article{arxiv.2106.01241,
title = {Stochastic maximum principle for systems driven by local martingales with spatial parameters},
author = {Jian Song and Meng Wang},
journal= {arXiv preprint arXiv:2106.01241},
year = {2021}
}
Comments
27 pages