The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon

DOI10.1051/cocv/2023032zbMath1521.93212arXiv2201.00314MaRDI QIDQ6138462

Yueyang Zheng, Jing-Tao Shi

Publication date: 5 September 2023

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

Full work available at URL: https://arxiv.org/abs/2201.00314

zbMATH Keywords

discounted optimal controlinfinite horizon forward-backward stochastic differential equation with jumpspartially observed maximum principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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