Stochastic maximum principle of forward-backward stochastic pantograph systems with random jumps

DOI10.13413/J.CNKI.JDXBLXB.2015.04.12MaRDI QIDQ2992802zbMATH OpenFDO

Authors Dianguo Shao, Daiqing Song, Jing Gu

Publication date 10 August 2016

zbMATH Keywords

stochastic maximum principlestochastic optimal controlvariational approachduality method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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(5)

• Stochastic maximum principle for optimal control of forward-backward stochastic pantograph systems with regime switching
• Stochastic maximum principle of mean-field jump-diffusion systems with mixed delays
• Stochastic maximum principle in the Pontryagin's form for wide band noise driven systems
• Maximum principle of recursive optimal control problem for forward-backward stochastic delayed system with Poisson jumps
• Maximum principles for backward doubly stochastic systems with jumps and applications

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