Article ID Journal Published Year Pages File Type
752227 Systems & Control Letters 2012 6 Pages PDF
Abstract

In this paper, we consider a partial information stochastic control problem where the system is governed by a nonlinear stochastic differential equation driven by Teugels martingales associated with some Lévy process and an independent Brownian motion. We prove optimality necessary conditions in the form of a maximum principle. These conditions turn out to be sufficient under some convexity assumptions. To illustrate the general results, an example is solved.

Related Topics
Physical Sciences and Engineering Engineering Control and Systems Engineering
Authors
, , ,