Infinite horizon optimal control of forward–backward stochastic system driven by Teugels martingales with Lévy processes
From MaRDI portal
Publication:2977584
DOI10.1142/S0219493717500204zbMath1360.49002OpenAlexW2345378070MaRDI QIDQ2977584
No author found.
Publication date: 18 April 2017
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219493717500204
Brownian motion (60J65) Optimal stochastic control (93E20) Existence theories for optimal control problems involving ordinary differential equations (49J15)
Related Items
Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes ⋮ The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon ⋮ Mean-field, infinite horizon, optimal control of nonlinear stochastic delay system governed by Teugels martingales associated with Lévy processes ⋮ 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
- Optimal variational principle for backward stochastic control systems associated with Lévy processes
- A general maximum principle for optimal control of forward-backward stochastic systems
- Maximum principle for forward-backward stochastic control system with random jumps and applications to finance
- Optimality conditions for partial information stochastic control problems driven by Lévy processes
- Necessary and sufficient conditions for optimal control of stochastic systems associated with Lévy processes
- On solutions of a class of infinite horizon FBSDEs
- The Pontryagin maximum principle and problems of optimal economic growth
- Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes
- Infinite horizon forward-backward stochastic differential equations
- On a sufficient transversality condition for infinite horizon optimal control problems
- Chaotic and predictable representations for Lévy processes.
- Anticipated backward stochastic differential equations driven by the Teugels martingales
- Infinite horizon optimal control of forward-backward stochastic differential equations with delay
- Maximum principles for jump diffusion processes with infinite horizon
- A stochastic linear-quadratic problem with Lévy processes and its application to finance
- Existence theorem in the optimal control problem on an infinite time interval
- On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures
- A Maximum Principle for Infinite Horizon Delay Equations
- Lévy Processes and Stochastic Calculus
- Forward-backward stochastic differential equations with mixed initial-terminal conditions
- Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
