The optimal control of fully-coupled forward-backward doubly stochastic systems driven by Itô-Lévy processes
DOI10.1007/s11424-018-7300-zzbMath1419.93068OpenAlexW2910327284MaRDI QIDQ2320615
Wencan Wang, Jin-biao Wu, Zai-Ming Liu
Publication date: 23 August 2019
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-018-7300-z
maximum principlevariational equationlinear quadratic problemforward-backward doubly stochastic differential equationsItô-Lévy processes
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Control/observation systems governed by ordinary differential equations (93C15)
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