SIAM Journal on Control and Optimization, Vol.58, No.4, 2171-2187, 2020
THE MAXIMUM PRINCIPLE FOR PROGRESSIVE OPTIMAL STOCHASTIC CONTROL PROBLEMS WITH RANDOM JUMPS
In this paper, we obtain the maximum principle for optimal controls of stochastic systems with jumps by introducing a new method of variation. The control is allowed to enter both diffusion and jump terms and the control domain need not be convex.