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

DOI10.1007/S11425-012-4370-6zbMath1242.93148arXiv1010.4744OpenAlexW2159664876MaRDI QIDQ424326

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

Lévy processesstochastic controlbackward stochastic differential equationsstochastic maximum principleTeugel's martingales

Mathematics Subject Classification ID

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

Related Items (10)

A mean-field optimal control for fully coupled forward-backward stochastic control systems with Lévy processes ⋮ 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 ⋮ Infinite horizon optimal control of forward–backward stochastic system driven by Teugels martingales with Lévy processes ⋮ 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 ⋮ On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures ⋮ 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

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