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

DOI10.13413/J.CNKI.JDXBLXB.2015.04.12zbMATH Open1349.60098MaRDI QIDQ2992802FDOQ2992802

Authors: Dianguo Shao, Daiqing Song, Jing Gu 

Publication date: 10 August 2016

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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)

Cited In (5)

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

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