The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps
Optimization and Control
2019-10-10 v2
Abstract
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.
Cite
@article{arxiv.1904.00636,
title = {The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps},
author = {Yuanzhuo Song and Shanjian Tang and Zhen Wu},
journal= {arXiv preprint arXiv:1904.00636},
year = {2019}
}