A maximum principle for fully coupled forward-backward stochastic control system driven by Lévy process with terminal state constraints

DOI10.1007/S11424-017-6209-2zbMATH Open1401.93225OpenAlexW2774668258MaRDI QIDQ1621173FDOQ1621173

Authors: Hong Huang, Meijuan Liu, Xiangrong Wang 

Publication date: 8 November 2018

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

Full work available at URL: https://doi.org/10.1007/s11424-017-6209-2

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zbMATH Keywords

maximum principleoptimal portfolioterminal state constraintforward-backward stochastic control system driven by Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Control/observation systems governed by ordinary differential equations (93C15) Optimal stochastic control (93E20)

Cites Work

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Cited In (7)

• The maximum principle for optimal control of mean-field FBSDE driving by Teugels martingales with terminal state constraints
• Maximum principle for forward-backward stochastic control system driven by Lévy process
• Stochastic control of SDEs associated with Lévy generators and application to financial optimization
• Maximum principle of optimal stochastic control with terminal state constraint and its application in finance
• Maximum principle for forward-backward control system driven by Itô-Lévy processes under initial-terminal constraints
• The optimal control of fully-coupled forward-backward doubly stochastic systems driven by Itô-Lévy processes
• A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case

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