Optimal variational principle for backward stochastic control systems associated with Lévy processes

DOI10.1007/S11425-012-4370-6MaRDI QIDQ424326zbMATH OpenOpenAlexFDO

Authors Qi Zhang, Mao-ning Tang

Publication date 31 May 2012

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1010.4744

zbMATH Keywords

backward stochastic differential equationsLévy processesstochastic controlstochastic maximum principleTeugel's martingales

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Abstract: The paper is concerned with optimal control of backward stochastic differential equation (BSDE) driven by Teugel's martingales and an independent multi-dimensional Brownian motion, where Teugel's martingales are a family of pairwise strongly orthonormal martingales associated with L'{e}vy processes (see Nualart and Schoutens cite{NuSc}). We derive the necessary and sufficient conditions for the existence of the optimal control by means of convex variation methods and duality techniques. As an application, the optimal control problem of linear backward stochastic differential equation with a quadratic cost criteria (called backward linear-quadratic problem, or BLQ problem for short) is discussed and characterized by stochastic Hamilton system.

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Cited in

(19)

• A maximum principle for fully coupled forward-backward stochastic control system driven by Lévy process with terminal state constraints
• Maximum principle for forward-backward stochastic control system driven by Lévy process
• The maximum principle for partially observed optimal control of FBSDE driven by Teugels martingales and independent Brownian motion
• Linear quadratic stochastic optimal control of forward backward stochastic control system associated with Lévy process
• Partial information stochastic differential games for backward stochastic systems driven by Lévy processes
• A mean-field optimal control for fully coupled forward-backward stochastic control systems with Lévy processes
• Inverse optimal control of stochastic systems driven by Lévy processes
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• Optimal control of mean-field backward doubly stochastic systems driven by Itô-Lévy processes
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• A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case
• Partially observed nonzero-sum differential game of BSDEs with delay and applications
• Necessary and sufficient conditions for optimal control of stochastic systems associated with Lévy processes

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