Stochastic Maximum Principle for Hilbert Space Valued Forward-Backward Doubly SDEs with Poisson Jumps

DOI10.1007/978-3-662-45504-3_1zbMath1325.60084arXiv1301.1948OpenAlexW28461337MaRDI QIDQ2950086

Boulekhrass Gherbal, Abdulrahman Al-Hussein

Publication date: 6 October 2015

Published in: IFIP Advances in Information and Communication Technology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.1948

zbMATH Keywords

Wiener processesstochastic maximum principlecontrol problemPoisson random measureforward-backward doubly stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Random measures (60G57) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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