The maximum principle for partially observed optimal control of FBSDE driven by Teugels martingales and independent Brownian motion

DOI10.1007/s10883-017-9377-4zbMath1390.93860OpenAlexW2755624257MaRDI QIDQ1743669

S. Bougherara, Nabil Khelfallah

Publication date: 13 April 2018

Published in: Journal of Dynamical and Control Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10883-017-9377-4

zbMATH Keywords

optimal controlmaximum principleLévy processforward-backward stochastic differential equationTeugels martingalepartially observed optimal control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (1)

The maximum principle for optimal control of BSDEs with locally Lipschitz coefficients

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