The maximum principle for partially observed optimal control of forward-backward stochastic systems with random jumps

DOI10.1007/S11424-011-9311-XzbMath1338.93408OpenAlexW4379509316MaRDI QIDQ300988

Hua Xiao

Publication date: 29 June 2016

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-011-9311-x

zbMATH Keywords

maximum principleforward-backward stochastic differential equationsrandom jumpspartially observed optimal control

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 (9)

Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations ⋮ A stochastic maximum principle for partially observed optimal control problem of McKean-Vlasov FBSDEs with random jumps ⋮ The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps ⋮ On optimal mean-field control problem of mean-field forward-backward stochastic system with jumps under partial information ⋮ Linear quadratic nonzero sum differential games with asymmetric information ⋮ The maximum principle for partially observed optimal control of FBSDE driven by Teugels martingales and independent Brownian motion ⋮ A Maximum Principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems ⋮ A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case ⋮ Partially observed nonzero-sum differential game of BSDEs with delay and applications

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