Articlegreen2020

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

23 citations0/0 files storedSIAM Journal on Control and Optimization

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Optimization and Variational Analysis

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 terms and the control domain need not be convex.

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References

1990A General Stochastic Maximum Principle for Optimal Control Problems 1994Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps 1993Backward stochastic differential equations and applications to optimal control

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2023Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System

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