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

Published 1 Apr 2019 in math.OC | (1904.00636v2)

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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