Necessary and sufficient conditions for optimal control of stochastic systems associated with Lévy processes
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Publication:848401
DOI10.1007/s11432-009-0191-9zbMath1182.49023OpenAlexW2149980375MaRDI QIDQ848401
Publication date: 3 March 2010
Published in: Science in China. Series F (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11432-009-0191-9
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)
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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 ⋮ On optimal control of mean-field stochastic systems driven by Teugels martingales via derivative with respect to measures ⋮ Optimal variational principle for backward stochastic control systems associated with Lévy processes ⋮ Infinite horizon optimal control of forward–backward stochastic system driven by Teugels martingales with Lévy processes ⋮ The maximum principle for partially observed optimal control of FBSDE driven by Teugels martingales and independent Brownian motion ⋮ Optimality conditions for partial information stochastic control problems driven by Lévy processes ⋮ Partial information stochastic differential games for backward stochastic systems driven by Lévy processes ⋮ On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures ⋮ A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case ⋮ Linear-quadratic optimal control problems for mean-field stochastic differential equation with Lévy process ⋮ On mean-field partial information maximum principle of optimal control for stochastic systems with Lévy processes
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