Abstract The present paper is an attempt to derive the equation of the maximum principle for adjoint processes in the general optimization problem, which is characterized by a situation when the choice of the control determines the absolutely continuous change of some basic measure. In contrast to the case of diffusion Markov processes ([1], [2]), these equations, generally speaking, are not ordinary differential equations here. We base the derivation on a non-linear equation for the martingale component of the value process ([3]) and an expression for the differential of the maximum of the semi-martingales. The method can be also applied to the case with jump components in the martingales defining measure densities, but we shall restrict ourselves by the continuous case.


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    Title :

    Stochastic maximum principle in the problem of optimal absolutely continuous change of measure


    Contributors:


    Publication date :

    1986-01-01


    Size :

    10 pages





    Type of media :

    Article/Chapter (Book)


    Type of material :

    Electronic Resource


    Language :

    English