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Necessary Maximum Principle of Stochastic Optimal Control with Delay and Jump Diffusion |
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| Authors: | XING LEI ZHAO PENG-FEI |
| Institution: | [1]College of Basic Sciences, Changchun University of Technology, Changchun, 130022; [2]Institute of Mathematics, Jilin University, Changchun, 130012; [3]College of Geoexploration Science and Technology, Jilin University, Changchun, 130026; [4]Post-doctoral Flow Station of Computer Science and Technology, College of Computer Science and Technology, Jilin University, Changchun, 130012; [5]Department of Scientific Computing, Florida State University, Tallahassee, FL 32306, USA |
| Abstract: | stochastic differential equation, jump diffusion, delay, necessary maximum principle |
| Keywords: | stochastic differential equation jump diffusion delay necessary maximum principle |
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