A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information

DOI10.1007/s11425-009-0114-7zbMath1176.93083OpenAlexW2040477284MaRDI QIDQ1042987

Qingxin Meng

Publication date: 7 December 2009

Published in: Science in China. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-009-0114-7

zbMATH Keywords

maximum principlestochastic optimal controlpartial information

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimality conditions for free problems in two or more independent variables (49K10)

Related Items (13)

Forward-backward doubly stochastic differential equations and related stochastic partial differential equations ⋮ Necessary conditions for optimal control of forward-backward stochastic systems with random jumps ⋮ Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type ⋮ A variational formula for nonzero-sum stochastic differential games of FBSDEs and applications ⋮ Stochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equation ⋮ A general maximum principle for optimal control of forward-backward stochastic systems ⋮ Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type ⋮ Maximum principle for forward-backward control system driven by Itô-Lévy processes under initial-terminal constraints ⋮ Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems ⋮ A Maximum Principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems ⋮ The optimal control of fully-coupled forward-backward doubly stochastic systems driven by Itô-Lévy processes ⋮ A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case ⋮ Arrow sufficient conditions for optimality of fully coupled forward-backward stochastic differential equations with applications to finance

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