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

DOI10.1137/19M1292308MaRDI QIDQ3300845zbMATH OpenOpenAlexFDO

Authors Yuanzhuo Song, Shanjian Tang, Zhen Wu

Publication date 30 July 2020

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1904.00636

zbMATH Keywords

maximum principleadjoint equationrandom jumpsspike variation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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.

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Cited in

(21)

• Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions
• The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps
• A maximum principle approach to stochastic \(H_2/H_\infty\) control with random jumps
• Stochastic maximum principle of forward-backward stochastic pantograph systems with random jumps
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• The maximum principle for stochastic control problem with jumps in progressive structure
• A maximum principle for progressive optimal control of mean-field forward-backward stochastic system involving random jumps and impulse controls
• A general maximum principle for progressive optimal stochastic control problems with Markov regime-switching
• The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon
• On maximum principle of near-optimality for diffusions with jumps, with application to consumption-investment problem
• Second-order necessary condition for partially observed stochastic system with random jumps
• A stochastic maximum principle for systems with jumps, with applications to finance.
• Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps
• A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications
• A maximum principle for a stochastic control problem with multiple random terminal times
• A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chain
• Second‐order necessary optimality conditions for discrete‐time stochastic systems
• Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
• A general maximum principle for partially observed mean-field stochastic system with random jumps in progressive structure
• The maximum principle for stochastic control problem with Markov chain in progressive structure
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