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

Authors

  • Xing Lei
  • Pengfei Zhao

DOI:

https://doi.org/10.13447/j.1674-5647.2014.03.06

Keywords:

stochastic differential equation, jump diffusion, delay, necessary maximum principle.

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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Published

2021-05-17

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Issue

Vol. 30 No. 3 (2014)

Section

Articles

How to Cite

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