Stochastic maximum principle for systems driven by local martingales with spatial parameters

作     者：Jian Song Meng Wang Jian Song;Meng Wang

作者机构：Research Center for Mathematics and Interdisciplinary SciencesShandong UniversityQingdao 266237ShandongChina School of MathematicsShandong UniversityJinan 250100ShandongChina 

出 版 物：《Probability, Uncertainty and Quantitative Risk》 (概率、不确定性与定量风险（英文）)

年 卷 期：2021年第6卷第3期

页      面：213-236页

学科分类：07[理学] 0701[理学-数学] 070101[理学-基础数学] 

基　　金：The authors are also grateful to the two anonymous referees for their valuable comments.J.Song is partially supported by Shandong University(Grant No.11140089963041) the National Natural Science Foundation of China(Grant No.12071256) 

主　　题：Stochastic optimal control Stochastic maximum principle Local martingale with a spatial parameter 

摘      要：We consider the stochastic optimal control problem for the dynamical system of the stochastic differential equation driven by a local martingale with a spatial *** the convexity of the control domain,we obtain the stochastic maximum principle as the necessary condition for an optimal control,and we also prove its sufficiency under proper *** stochastic linear quadratic problem in this setting is also discussed.