A General Stochastic Maximum Principle For Optimal Control Of Stochastic Systems Driven By Multidimensional Teugel's Martingales

Publication date 29 May 2012

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Martingales with continuous parameter (60G44) Optimal stochastic control (93E20)

Abstract: A necessary maximum principle is proved for optimal controls of stochastic systems driven by multidimensional Teugel's martingales. The multidimensional Teugel's martingales are constructed by orthogonalizing the multidimensional L'{e}vy processes. The control domain need not be convex, and the control is allowed to enter into the terms of Teugel's martingales.

This page was built for publication: A General Stochastic Maximum Principle For Optimal Control Of Stochastic Systems Driven By Multidimensional Teugel's Martingales

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6233335)