Necessary conditions for optimal control of forward-backward stochastic systems with random jumps

DOI10.1155/2012/258674zbMath1239.93132OpenAlexW2090789551WikidataQ58689556 ScholiaQ58689556MaRDI QIDQ413924

Jing-Tao Shi

Publication date: 8 May 2012

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/258674

zbMATH Keywords

optimal controlnecessary conditionsrandom jumpsforward-backward stochastic systems

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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