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arXiv · 1205.6315

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

Jianzhong Lin
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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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Jianzhong Lin. 2012-05-29. A General Stochastic Maximum Principle For Optimal Control Of Stochastic Systems Driven By Multidimensional Teugel's Martingales. https://arxiv.org/abs/1205.6315

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