The optimal control problem with state constraints for fully coupled forward-backward stochastic systems with jumps

DOI10.1155/2014/216053zbMath1472.49039OpenAlexW2030952102WikidataQ59036313 ScholiaQ59036313MaRDI QIDQ1722363

Qingmeng Wei

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/216053

zbMATH Keywords

jumpsstochastic maximum principlelinear quadratic modelforward-backward stochastic system

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Existence of optimal solutions to problems involving randomness (49J55) Jump processes on general state spaces (60J76)

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