Fully coupled forward backward stochastic differential equations driven by Lévy processes and application to differential games

DOI10.1515/rose-2014-0016zbMath1300.60073OpenAlexW2020703866MaRDI QIDQ742069

Nabil Khelfallah, Brahim Mezerdi, Isabelle Turpin, Fouzia Baghery

Publication date: 17 September 2014

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2014-0016

zbMATH Keywords

Lévy process stochastic differential game fully coupled forward-backward stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical optimization and variational techniques (65K10) Differential games and control (49N70) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15)

Related Items (7)

A mean-field optimal control for fully coupled forward-backward stochastic control systems with Lévy processes ⋮ A maximum principle for fully coupled forward-backward stochastic control system driven by Lévy process with terminal state constraints ⋮ Maximum principle for forward-backward stochastic control system driven by Lévy process ⋮ Forward-backward SDEs driven by Lévy process in stopping time duration ⋮ BSDE with rcll reflecting barrier driven by a Lévy process ⋮ Linear quadratic stochastic optimal control of forward backward stochastic control system associated with Lévy process ⋮ A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case

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