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

Published 29 May 2012 in math.OC and math.PR | (1205.6315v1)

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.

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Authors (1)

  1. Jianzhong Lin 

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