The maximum principle for partially observed optimal control of FBSDE driven by Teugels martingales and independent Brownian motion

DOI10.1007/s10883-017-9377-4zbMath1390.93860OpenAlexW2755624257MaRDI QIDQ1743669

S. Bougherara, Nabil Khelfallah

Publication date: 13 April 2018

Published in: Journal of Dynamical and Control Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10883-017-9377-4

zbMATH Keywords

optimal controlmaximum principleLévy processforward-backward stochastic differential equationTeugels martingalepartially observed optimal control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items

The maximum principle for optimal control of BSDEs with locally Lipschitz coefficients

Cites Work

• Unnamed Item
• Unnamed Item
• The maximum principle for partially observed optimal control of forward-backward stochastic systems with random jumps
• Optimal variational principle for backward stochastic control systems associated with Lévy processes
• A maximum principle for partially observed optimal control of forward-backward stochastic control systems
• Adapted solution of a backward stochastic differential equation
• Optimality conditions for partial information stochastic control problems driven by Lévy processes
• Necessary and sufficient conditions for optimal control of stochastic systems associated with Lévy processes
• Backward-forward stochastic differential equations
• Stochastic processes and orthogonal polynomials
• BSDE associated with Lévy processes and application to PDIE
• Chaotic and predictable representations for Lévy processes.
• Backward stochastic differential equations and applications to optimal control
• A stochastic linear-quadratic problem with Lévy processes and its application to finance
• Qualitative flow visualization using colored lights and reflective flakes
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance