Maximum principle for forward-backward control system driven by Itô-Lévy processes under initial-terminal constraints

DOI10.1155/2017/1868560zbMath1426.93367OpenAlexW2633993420WikidataQ59147326 ScholiaQ59147326MaRDI QIDQ1992421

Hong Huang, Meijuan Liu, Xiang-Rong Wang

Publication date: 5 November 2018

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

Full work available at URL: https://doi.org/10.1155/2017/1868560

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (1)

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Necessary conditions for optimal control of forward-backward stochastic systems with random jumps
• Risk minimization in financial markets modeled by Itô-Lévy processes
• Stochastic linear quadratic optimal control with constraint for discrete-time systems
• Maximum principle for forward-backward stochastic control system with random jumps and applications to finance
• A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information
• Stochastic maximum principle for distributed parameter systems
• On the variational principle
• Forward-backward stochastic differential equations with Brownian motion and Poisson process
• Chaotic and predictable representations for Lévy processes.
• A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints
• Backward stochastic differential equations and applications to optimal control
• A maximum principle for stochastic optimal control with terminal state constraints, and its applications
• Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps
• A General Stochastic Maximum Principle for Optimal Control Problems
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Lévy Processes and Stochastic Calculus

This page was built for publication: Maximum principle for forward-backward control system driven by Itô-Lévy processes under initial-terminal constraints