A general maximum principle for mean-field forward-backward doubly stochastic differential equations with jumps processes
DOI10.1515/ROSE-2019-2002zbMATH Open1414.93202OpenAlexW2916616843WikidataQ128386342 ScholiaQ128386342MaRDI QIDQ2415411FDOQ2415411
Authors: Dahbia Hafayed, Adel Chala 
Publication date: 21 May 2019
Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/rose-2019-2002
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adjoint equationstochastic optimal controlvariational inequalitymean-field forward-backward doubly stochastic differential equation with jumps processes
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Control/observation systems governed by ordinary differential equations (93C15) Optimal stochastic control (93E20)
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Cited In (8)
- Maximum principle for the optimal control problem of a forward backward SDE with jumps in the mean-field model
- Maximum principle for forward–backward SDEs with a general cost functional
- Stochastic maximum principle for Hilbert space valued forward-backward doubly SDEs with Poisson jumps
- An optimal control of a risk-sensitive problem for backward doubly stochastic differential equations with applications
- Maximum principles for optimal control of forward-backward stochastic differential equations with jumps
- Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information
- A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps
- Maximum principles for backward doubly stochastic systems with jumps and applications
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