A General Stochastic Maximum Principle For Optimal Control Of Stochastic Systems Driven By Multidimensional Teugel's Martingales

摘要

A necessary maximum principle is proved for optimal controls of stochasticsystems driven by multidimensional Teugel's martingales. The multidimensionalTeugel's martingales are constructed by orthogonalizing the multidimensionalL\'{e}vy processes. The control domain need not be convex, and the control isallowed to enter into the terms of Teugel's martingales.