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 equationsstochastic controlstochastic maximum principleTeugel's martingalesLévy processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear-quadratic optimal control problems (49N10) 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)

• Partial information stochastic differential games for backward stochastic systems driven by Lévy processes
• scientific article; zbMATH DE number 5590543 (Why is no real title available?)
• The maximum principle for partially observed optimal control of FBSDE driven by Teugels martingales and independent Brownian motion
• Maximum principle for forward-backward stochastic control system driven by Lévy process
• Backstepping control design for stochastic systems driven by Lévy processes
• Necessary and sufficient conditions for optimal control of stochastic systems associated with Lévy processes
• A stochastic linear-quadratic problem with Lévy processes and its application to finance
• Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
• On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures
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• Linear quadratic stochastic optimal control of forward backward stochastic control system associated with Lévy process
• A mean-field optimal control for fully coupled forward-backward stochastic control systems with Lévy processes
• BSDEs driven by time-changed Lévy noises and optimal control
• Infinite horizon optimal control of forward-backward stochastic system driven by Teugels martingales with Lévy processes
• Stochastic maximum principle for forward-backward stochastic systems associated with Lévy processes

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