Optimal control of mean-field backward doubly stochastic systems driven by Itô-Lévy processes

DOI10.1080/00207179.2018.1502473zbMath1436.93144OpenAlexW2883354582MaRDI QIDQ5221392

Zai-Ming Liu, Jin-biao Wu

Publication date: 25 March 2020

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179.2018.1502473

zbMATH Keywords

stochastic optimal controlstochastic maximum principlemean-field backward doubly stochastic differential equations driven by Itô-Lévy processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Control/observation systems governed by ordinary differential equations (93C15)

Related Items (6)

Well-posedness and regularity of mean-field backward doubly stochastic Volterra integral equations and applications to dynamic risk measures ⋮ Stochastic optimal control for dynamics of forward backward doubly SDEs of mean-field type ⋮ Partial information stochastic differential games for backward stochastic systems driven by Lévy processes ⋮ Mean-field type forward-backward doubly stochastic differential equations and related stochastic differential games ⋮ A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case ⋮ Stochastic viscosity solutions for stochastic integral-partial differential equations

Cites Work

• Unnamed Item
• Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives
• Mean-field backward doubly stochastic differential equations and related SPDEs
• The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
• A maximum principle for SDEs of mean-field type
• BDSDEs with locally monotone coefficients and Sobolev solutions for SPDEs
• A general stochastic maximum principle for SDEs of mean-field type
• Mean-field backward stochastic differential equations: A limit approach
• Stochastic calculus with anticipating integrands
• Time reversal on Lévy processes
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• A type of time-symmetric forward-backward stochastic differential equations
• Stochastic maximum principle in the mean-field controls
• Stationary solutions of SPDEs and infinite horizon BDSDEs with non-Lipschitz coefficients
• Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes
• Backward doubly SDEs and semilinear stochastic PDEs in a convex domain
• Maximum principle for mean-field zero-sum stochastic differential game with partial information and its application to finance
• Mean-field stochastic differential equations and associated PDEs
• Stationary solutions of SPDEs and infinite horizon BDSDEs
• Partially observed optimal controls of forward-backward doubly stochastic systems
• Optimal Control of Backward Doubly Stochastic Systems With Partial Information
• Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information
• Maximum Principle for Backward Doubly Stochastic Control Systems with Applications
• Optimality conditions of controlled backward doubly stochastic differential equations
• Maximum principle for forward-backward doubly stochastic control systems and applications
• Some Results of Backward Itô Formula
• Lévy Processes and Stochastic Calculus
• Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications
• Martingale Representation of Functionals of Lévy Processes
• Maximum principles for backward doubly stochastic systems with jumps and applications
• Weak solutions for SPDE's and backward doubly stochastic differential equations

This page was built for publication: Optimal control of mean-field backward doubly stochastic systems driven by Itô-Lévy processes