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

DOI10.1007/S11424-017-6209-2MaRDI QIDQ1621173zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

forward-backward stochastic control system driven by Lévy processmaximum principleoptimal portfolioterminal state constraint

Mathematics Subject Classification ID

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

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Cited in

(7)

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

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