Necessary Maximum Principle of Stochastic Optimal Control with Delay and Jump Diffusion
Commun. Math. Res., 30 (2014), pp. 245-256.
Published online: 2021-05
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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 and Zhao , Pengfei. (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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