most citedA General Stochastic Maximum Principle For Optimal Control Of Stochastic Systems Driven By Multidimensional Teugel's Martingales

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math.OC2012★ 1 cited

A General Stochastic Maximum Principle For Optimal Control Of Stochastic Systems Driven By Multidimensional Teugel's Martingales

Jianzhong Lin

A necessary maximum principle is proved for optimal controls of stochastic systems driven by multidimensional Teugel's martingales. The multidimensional Teugel's martingales are co…