Maximum principle for forward-backward stochastic control system driven by Lévy process

DOI10.1155/2015/702802zbMath1394.49024OpenAlexW1957583771WikidataQ59118966 ScholiaQ59118966MaRDI QIDQ1666382

Hong Huang, Xiang-Rong Wang

Publication date: 27 August 2018

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/702802

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (4)

A mean-field optimal control for fully coupled forward-backward stochastic control systems with Lévy processes ⋮ A maximum principle for fully coupled forward-backward stochastic control system driven by Lévy process with terminal state constraints ⋮ Linear quadratic stochastic optimal control of forward backward stochastic control system associated with Lévy process ⋮ A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case

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