Necessary Maximum Principle of Stochastic Optimal Control with Delay and Jump Diffusion

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Abstract

In this paper, we have studied the necessary maximum principle of stochastic optimal control problem with delay and jump diffusion.

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stochastic differential equation jump diffusion delay necessary maximum principle.
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DOI

10.13447/j.1674-5647.2014.03.06

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Necessary Maximum Principle of Stochastic Optimal Control with Delay and Jump Diffusion. (2021). Communications in Mathematical Research, 30(3), 245-256. https://doi.org/10.13447/j.1674-5647.2014.03.06