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

DOI10.1137/19M1292308zbMATH Open1447.93378arXiv1904.00636OpenAlexW3045733734MaRDI QIDQ3300845FDOQ3300845

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)

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.

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

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zbMATH Keywords

maximum principleadjoint equationrandom jumpsspike variation

Mathematics Subject Classification ID

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

Cites Work

• A General Stochastic Maximum Principle for Optimal Control Problems
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• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
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• Backward stochastic differential equations and applications to optimal control
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Cited In (21)

• A general maximum principle for progressive optimal stochastic control problems with Markov regime-switching
• Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
• Title not available (Why is that?)
• A maximum principle for progressive optimal control of mean-field forward-backward stochastic system involving random jumps and impulse controls
• A maximum principle for a stochastic control problem with multiple random terminal times
• The maximum principle for stochastic control problem with jumps in progressive structure
• A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chain
• A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications
• Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps
• Stochastic maximum principle of forward-backward stochastic pantograph systems with random jumps
• On maximum principle of near-optimality for diffusions with jumps, with application to consumption-investment problem
• A stochastic maximum principle for systems with jumps, with applications to finance.
• The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon
• The maximum principle for stochastic control problem with Markov chain in progressive structure
• Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions
• A maximum principle approach to stochastic \(H_2/H_\infty\) control with random jumps
• A general maximum principle for partially observed mean-field stochastic system with random jumps in progressive structure
• The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Second-order necessary condition for partially observed stochastic system with random jumps
• Second‐order necessary optimality conditions for discrete‐time stochastic systems

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