Stochastic Maximum Principle for Hilbert Space Valued Forward-Backward Doubly SDEs with Poisson Jumps

DOI10.1007/978-3-662-45504-3_1zbMath1325.60084arXiv1301.1948MaRDI QIDQ2950086

Abdulrahman Al-Hussein, Boulekhrass Gherbal

Publication date: 6 October 2015

Published in: IFIP Advances in Information and Communication Technology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.1948

zbMATH Keywords

Wiener processes; stochastic maximum principle; control problem; Poisson random measure; forward-backward doubly stochastic differential equation

Mathematics Subject Classification ID

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

93E20: Optimal stochastic control

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

60G57: Random measures

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)