Global maximum principle for the forward-backward stochastic optimal control problem with poisson jumps

DOI10.1002/asjc.443zbMath1303.93190MaRDI QIDQ2937877

Jing-Tao Shi

Publication date: 13 January 2015

Published in: Asian Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asjc.443

zbMATH Keywords

maximum principle; Clarke generalized gradient; stochastic optimal control; Poisson jumps; forward-backward stochastic system

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness

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