A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case
type: Item
instance of: scholarly article
title: A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case
zbMATH Open document ID: 1459.93191
DOI: 10.1155/2020/1768507
author: Hong Huang
author: Ying Li
author: Xiangrong Wang
published in: Mathematical Problems in Engineering
publication date: 2020-07-03T00:00:00Z
review text: Summary: This paper analyzes one kind of optimal control problem which is described by forward-backward stochastic differential equations with Lévy process (FBSDEL). We derive a necessary condition for the existence of the optimal control by means of spike variational technique, while the control domain is not necessarily convex. Simultaneously, we also get the maximum principle for this control system when there are some initial and terminal state constraints. Finally, a financial example is discussed to illustrate the application of our result.
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49K45
zbMATH DE Number: 7217388
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2020/1768507
OpenAlex ID: W3033013433
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description: scientific article; zbMATH DE number 7217388