Infinite horizon jump-diffusion forward-backward stochastic differential equations and their application to backward linear-quadratic problems

DOI10.1051/cocv/2016055zbMath1375.60104arXiv1608.05688OpenAlexW2509045443MaRDI QIDQ4594363

Publication date: 23 November 2017

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.05688

zbMATH Keywords

stochastic optimal control linear-quadratic problem monotonicity condition forward-backward stochastic differential equation nonzero-sum stochastic differential game

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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FBSDEs involving time delays and advancements on infinite horizon and LQ problems with delays ⋮ Solution to the forward and backward stochastic difference equations with asymmetric information and application ⋮ INFINITE HORIZON OPTIMAL CONTROL PROBLEMS OF BACKWARD STOCHASTIC DELAY DIFFERENTIAL EQUATIONS IN HILBERT SPACES ⋮ Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System ⋮ The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon ⋮ Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system ⋮ Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system ⋮ Forward-backward stochastic differential equations on infinite horizon and quasilinear elliptic PDEs ⋮ Infinite Horizon Forward-Backward SDEs and Open-Loop Optimal Controls for Stochastic Linear-Quadratic Problems with Random Coefficients ⋮ Near-optimal control problems for forward-backward regime-switching systems

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