Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information
From MaRDI portal
Publication:2661840
DOI10.1007/s11424-020-9013-3zbMath1460.93095OpenAlexW3120506465MaRDI QIDQ2661840
Abdulrahman Al-Hussein, Boulekhrass Gherbal
Publication date: 8 April 2021
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-020-9013-3
maximum principlenecessary conditionsPoisson processsufficient conditionsadjoint equationsrelaxed controlstrict controlforward-backward doubly stochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03) Control/observation systems governed by ordinary differential equations (93C15)
Related Items (2)
Existence and uniqueness of the solutions of forward-backward doubly stochastic differential equations with Poisson jumps ⋮ Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Necessary conditions for optimal control of forward-backward stochastic systems with random jumps
- Existence of optimal controls for systems driven by FBSDEs
- A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
- Malliavin calculus for backward stochastic differential equations and application to numerical solutions
- Optimal contracts in continuous-time models
- Linear quadratic nonzero-sum differential games with random jumps
- Itô's theory of excursion point processes and its developments
- Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems
- Forward-backward stochastic differential equations and their applications
- Backward-forward stochastic differential equations
- Backward doubly stochastic differential equations and systems of quasilinear SPDEs
- A type of time-symmetric forward-backward stochastic differential equations
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Hedging options for a large investor and forward-backward SDE's
- Forward-backward stochastic differential equations with Brownian motion and Poisson process
- A dynamic maximum principle for the optimization of recursive utilities under constraints.
- Forward-backward doubly stochastic differential equations and related stochastic partial differential equations
- An implicit numerical scheme for a class of backward doubly stochastic differential equations
- Forward-backward stochastic differential games and stochastic control under model uncertainty
- A necessary condition for optimal control of~initial coupled forward-backward stochastic differential equations with~partial information
- A maximum principle for stochastic optimal control with terminal state constraints, and its applications
- Forward-backward stochastic differential equations, linear quadratic stochastic optimal control and nonzero sum differential games
- Existence and uniqueness of the solutions of forward-backward doubly stochastic differential equations with Poisson jumps
- Optimal Relaxed Control of Dissipative Stochastic Partial Differential Equations in Banach Spaces
- Stochastic Minimum Principle for Partially Observed Systems Subject to Continuous and Jump Diffusion Processes and Driven by Relaxed Controls
- Maximum principle for forward-backward doubly stochastic control systems and applications
- Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps
- Nonzero sum linear–quadratic stochastic differential games and backward–forward equations
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
- Backward Stochastic Differential Equations in Finance
- On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps
- Sufficient Conditions of Optimality for Forward-Backward Doubly SDEs with Jumps
- Optimal Control of Stochastic Partial Differential Equations
- On stochastic relaxed control for partially observed diffusions
- Stochastic maximum principle for optimal control problem of forward and backward system
- Necessary and Sufficient Optimality Conditions for Relaxed and Strict Control Problems
- Differential games of partial information forward-backward doubly SDE and applications
- On the fiber product of Young measures with application to a control problem with measures
This page was built for publication: Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information
