IDEAS home Printed from https://ideas.repec.org/a/spr/joptap/v199y2023i2d10.1007_s10957-023-02302-4.html
   My bibliography  Save this article

The Maximum Principle for Stochastic Control Problem with Jumps in Progressive Structure

Author

Listed:
  • Yuanzhuo Song

    (Shandong University)

  • Zhen Wu

    (Shandong University)

Abstract

In this paper, we introduce a new structure named “progressive structure” to deal with stochastic control problem with jumps. One example is given to show the motivation of our new structure compared with the traditional one at the beginning. And then, we obtain the maximum principle for a forward stochastic control problem by virtue of a new variation method. The control is allowed to enter both diffusion and jump terms and the control domain is convex. In the end, we apply our theoretical results to another example to illustrate the efficiency of our method.

Suggested Citation

  • Yuanzhuo Song & Zhen Wu, 2023. "The Maximum Principle for Stochastic Control Problem with Jumps in Progressive Structure," Journal of Optimization Theory and Applications, Springer, vol. 199(2), pages 415-438, November.
    • Handle: RePEc:spr:joptap:v:199:y:2023:i:2:d:10.1007_s10957-023-02302-4
    DOI: 10.1007/s10957-023-02302-4
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10957-023-02302-4
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s10957-023-02302-4?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:joptap:v:199:y:2023:i:2:d:10.1007_s10957-023-02302-4. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.