Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes

DOI10.1007/s11424-009-9151-0zbMath1178.93148OpenAlexW2037998783MaRDI QIDQ1044773

Zhen Wu, Huaibin Tang

Publication date: 15 December 2009

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-009-9151-0

zbMATH Keywords

backward stochastic differential equationLévy processgeneralized stochastic Riccati equationstochastic linear quadratic optimal control

Mathematics Subject Classification ID

Sensitivity, stability, well-posedness (49K40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Related Items (14)

A mean-field optimal control for fully coupled forward-backward stochastic control systems with Lévy processes ⋮ Maximum principle for forward-backward stochastic control system driven by Lévy process ⋮ 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 ⋮ Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lévy processes ⋮ Stochastic control of drill-heads driven by Lévy processes ⋮ Linear quadratic stochastic optimal control of forward backward stochastic control system associated with Lévy process ⋮ Approximate controllability of second-order stochastic differential systems driven by a Lévy process ⋮ On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures ⋮ Inverse optimal control of stochastic systems driven by Lévy processes ⋮ The delayed doubly stochastic linear quadratic optimal control problem ⋮ Linear-quadratic optimal control problems for mean-field stochastic differential equation with Lévy process ⋮ Approximate controllability of stochastic differential systems driven by a Lévy process ⋮ On mean-field partial information maximum principle of optimal control for stochastic systems with Lévy processes

Cites Work

• BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game
• Reflected backward stochastic differential equation with jumps and random obstacle
• Chaotic and predictable representations for Lévy processes.
• Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II
• Stochastic Hamilton–Jacobi–Bellman Equations
• Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
• Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation
• On a Matrix Riccati Equation of Stochastic Control
• Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
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