A general maximum principle for mean-field forward-backward doubly stochastic differential equations with jumps processes

DOI10.1515/ROSE-2019-2002MaRDI QIDQ2415411zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

adjoint equationstochastic optimal controlvariational inequalitymean-field forward-backward doubly stochastic differential equation with jumps processes

Mathematics Subject Classification ID

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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