Sufficient Conditions of Optimality for Forward-Backward Doubly SDEs with Jumps

DOI10.1007/978-3-319-30417-5_7zbMath1403.93193OpenAlexW2492084258MaRDI QIDQ4558894

Abdulrahman Al-Hussein, Boulekhrass Gherbal

Publication date: 30 November 2018

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-30417-5_7

zbMATH Keywords

optimal controlPoisson processadjoint equationsforward-backward doubly stochastic differential equationsufficient conditions of optimality

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)

Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Necessary conditions for optimal control of forward-backward stochastic systems with random jumps
• Maximum principle for forward-backward stochastic control system with random jumps and applications to finance
• Necessary and sufficient conditions for near-optimality in stochastic control of FBSDEs
• Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems
• Backward-forward stochastic differential equations
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
• On solutions of backward stochastic differential equations with jumps and applications
• A type of time-symmetric forward-backward stochastic differential equations
• Forward-backward stochastic differential equations with Brownian motion and Poisson process
• Forward-backward doubly stochastic differential equations and related stochastic partial differential equations
• Stochastic Minimum Principle for Partially Observed Systems Subject to Continuous and Jump Diffusion Processes and Driven by Relaxed Controls
• Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps
• Stochastic maximum principle for optimal control problem of forward and backward system

This page was built for publication: Sufficient Conditions of Optimality for Forward-Backward Doubly SDEs with Jumps