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

DOI10.1007/s11425-012-4370-6zbMath1242.93148arXiv1010.4744MaRDI 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 processes; stochastic control; backward stochastic differential equations; stochastic maximum principle; Teugel's martingales

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

49N10: Linear-quadratic optimal control problems

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