A General Stochastic Maximum Principle For Optimal Control Of Stochastic Systems Driven By Multidimensional Teugel's Martingales
From MaRDI portal
Publication:6233335
arXiv1205.6315MaRDI QIDQ6233335FDOQ6233335
Publication date: 29 May 2012
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.
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)
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)
