The maximum principle for stochastic control problem with jumps in progressive structure

DOI10.1007/S10957-023-02302-4OpenAlexW4387048388MaRDI QIDQ6086128

Yuanzhuo Song, Zhen Wu

Publication date: 9 November 2023

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-023-02302-4

zbMATH Keywords

maximum principlerandom jumpsprogressive structure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Cites Work

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• Maximum principle for forward-backward stochastic control system with random jumps and applications to finance
• Backward stochastic differential equations and applications to optimal control
• A General Stochastic Maximum Principle for Optimal Control Problems
• The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

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