Necessary and sufficient conditions for optimal control of stochastic systems associated with Lvy processes  

作　　者：MENG QingXin TANG MaoNing 

机构地区：[1]Institute of Mathematics, Fudan University, Shanghai 200433, China [2]Department of Mathematics, Huzhou University, Huzhou 313000, China

出　　处：《Science in China(Series F)》2009年第11期1982-1992,共11页中国科学（F辑英文版）

基　　金：Supported by the National Natural Science Foundation of China (Grant No. 10325101);the National Basic Research Program of China (GrantNo. 2007CB814904);the Natural Science Foundation of Zhejiang Province (Grant Nos. Y605478, Y606667)

摘　　要：The paper is concerned with a stochastic optimal control problem where the controlled systems are driven by Teugel＇s martingales and an independent multi-dimensional Brownian motion, Necessary and sufficient conditions for an optimal control of the control problem with the control domain being convex are proved by the classical method of convex variation, and the coefficients appearing in the systems are allowed to depend on the control variables, As an application, the linear quadratic stochastic optimal control problem is studied.The paper is concerned with a stochastic optimal control problem where the controlled systems are driven by Teugel＇s martingales and an independent multi-dimensional Brownian motion, Necessary and sufficient conditions for an optimal control of the control problem with the control domain being convex are proved by the classical method of convex variation, and the coefficients appearing in the systems are allowed to depend on the control variables, As an application, the linear quadratic stochastic optimal control problem is studied.

关 键 词：Teugel＇s martingales maximum principle adjoint equation 

分 类 号：O211.6[理学—概率论与数理统计] U491[理学—数学]