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

作　　者：XING LEI ZHAO PENG-FEI Li Yong 

机构地区：[1]College of Basic Sciences,Changchun University of Technology [2]Institute of Mathematics,Jilin University [3]College of Geoexploration Science and Technology,Jilin University [4]Post-doctoral Flow Station of Computer Science and Technology,College of Computer Science and Technology,Jilin University [5]Department of Scientific Computing,Florida State University

出　　处：《Communications in Mathematical Research》2014年第3期245-256,共12页数学研究通讯（英文版）

基　　金：The China Scholarship Council,the National Basic Research Program(2009CB219301) of China(973) in part;the National Public Benefit Scientific Research Foundation(201011078) of China;the National Innovation Research Project for Exploration and Development of Oil Shale(OSP-02 and OSR-02);the NSF(41304087,11071026,61133011,61170092,60973088,61202308,11001100,11171131 and 11026043) of China;the Basic Research Foundation of Jilin University in 2012

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

关 键 词：stochastic differential equation jump diffusion DELAY necessary maximum principle 

分 类 号：O232[理学—运筹学与控制论]