BSDEs with general filtration driven by Lévy processes, and an application in stochastic controllability

DOI10.1016/J.SYSCONLE.2012.11.021zbMATH Open1261.93086OpenAlexW1983195252MaRDI QIDQ1949129FDOQ1949129

Yanqing Wang

Publication date: 25 April 2013

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2012.11.021

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zbMATH Keywords

controllabilityfixed-point theoremrandom jumpsRiesz representation theoremmartingale representation theorembackward stochastic differential equations (BSDEs)BSDEs with general filtrationcorresponding well-posednessKalman-type rank conditionstochastic linear control systemtransposition solutionLévy processes

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Controllability (93B05) Linear systems in control theory (93C05)

Cited In (9)

• Stochastic minimum-energy control
• Generalized BSDE for Lévy processes under stochastic monotone conditions
• Backward stochastic differential equations with unbounded generators
• Switching controls for linear stochastic differential systems
• Exact controllability of stochastic differential equations with memory
• BSDEs with logarithmic growth driven by Brownian motion and Poisson random measure and connection to stochastic control problem
• Title not available (Why is that?)
• The Norm Optimal Control Problem for Stochastic Linear Control Systems
• A stochastic Fubini theorem: BSDE method

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