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Volume 30, Issue 3
Necessary Maximum Principle of Stochastic Optimal Control with Delay and Jump Diffusion

Xing Lei & Pengfei Zhao

Commun. Math. Res., 30 (2014), pp. 245-256.

Published online: 2021-05

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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.

  • AMS Subject Headings

60H15, 49J20, 93E20

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COPYRIGHT: © Global Science Press

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@Article{CMR-30-245, author = {Lei , Xing and Zhao , Pengfei}, title = {Necessary Maximum Principle of Stochastic Optimal Control with Delay and Jump Diffusion}, journal = {Communications in Mathematical Research }, year = {2021}, volume = {30}, number = {3}, pages = {245--256}, abstract = {

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

}, issn = {2707-8523}, doi = {https://doi.org/10.13447/j.1674-5647.2014.03.06}, url = {http://global-sci.org/intro/article_detail/cmr/18966.html} }
TY - JOUR T1 - Necessary Maximum Principle of Stochastic Optimal Control with Delay and Jump Diffusion AU - Lei , Xing AU - Zhao , Pengfei JO - Communications in Mathematical Research VL - 3 SP - 245 EP - 256 PY - 2021 DA - 2021/05 SN - 30 DO - http://doi.org/10.13447/j.1674-5647.2014.03.06 UR - https://global-sci.org/intro/article_detail/cmr/18966.html KW - stochastic differential equation, jump diffusion, delay, necessary maximum principle. AB -

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

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