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 term and the control domain need not to be convex.
A General Maximum Principle for Stochastic Systems with Delay
The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps
Entropy bounds for invariant measure perturbations in stochastic systems with uncertain noise
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