Maximum principles for backward doubly stochastic systems with jumps and applications

DOI10.1360/012013-187zbMath1499.93085OpenAlexW2312886623MaRDI QIDQ5017817

Qing-Feng Zhu, Xin Wang, Yu-feng Shi

Publication date: 17 December 2021

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/012013-187

zbMATH Keywords

optimal controlmaximum principlePoisson processbackward Itô's integrallinear quadratic problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic integral equations (60H20)

Related Items (4)

Stochastic maximum principle for delayed doubly stochastic control systems and their applications ⋮ Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations ⋮ Optimal control of mean-field backward doubly stochastic systems driven by Itô-Lévy processes ⋮ The optimal control of fully-coupled forward-backward doubly stochastic systems driven by Itô-Lévy processes

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