The relaxed optimal control problem of forward-backward stochastic doubly systems with Poisson jumps and its application to LQ problem (Q4923241)
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scientific article; zbMATH DE number 6171120
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English | The relaxed optimal control problem of forward-backward stochastic doubly systems with Poisson jumps and its application to LQ problem |
scientific article; zbMATH DE number 6171120 |
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The relaxed optimal control problem of forward-backward stochastic doubly systems with Poisson jumps and its application to LQ problem (English)
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6 June 2013
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jump diffusion
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stochastic maximum principle
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strict control
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relaxed control
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adjoint equation
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variational inequality
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linear quadratic problem
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LQ problem
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diffusion coefficient
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random jumps
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