Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps
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Publication:3162571
DOI10.1137/080739781zbMath1207.93115OpenAlexW1972668253MaRDI QIDQ3162571
Publication date: 20 October 2010
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10852/10502
maximum principlestochastic optimal controlMalliavin calculusforward-backward stochastic differential equationsrisk minimizationconvex risk measures
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07)
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