A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach

Publication date: 25 October 2023

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

zbMATH Keywords

verification theorem backward reachability approach fully coupled FBSDEs with jump diffusions integro-type HJB equation state-constrained stochastic control

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Hamilton-Jacobi equations in optimal control and differential games (49L12)

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