A maximum principle for fully coupled forward-backward stochastic control system driven by Lévy process with terminal state constraints

DOI10.1007/s11424-017-6209-2zbMath1401.93225OpenAlexW2774668258MaRDI QIDQ1621173

Hong Huang, Meijuan Liu, Xiang-Rong Wang

Publication date: 8 November 2018

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-017-6209-2

zbMATH Keywords

maximum principleoptimal portfolioterminal state constraintforward-backward stochastic control system driven by Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Control/observation systems governed by ordinary differential equations (93C15) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)

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A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case

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