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

DOI10.1007/S11425-012-4370-6zbMATH Open1242.93148arXiv1010.4744OpenAlexW2159664876MaRDI QIDQ424326FDOQ424326

Authors: Qi Zhang, Mao-ning Tang 

Publication date: 31 May 2012

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

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.

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

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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)

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Cited In (17)

• Partial information stochastic differential games for backward stochastic systems driven by Lévy processes
• Title not available (Why is that?)
• The maximum principle for partially observed optimal control of FBSDE driven by Teugels martingales and independent Brownian motion
• Backstepping control design for stochastic systems driven by Lévy processes
• Maximum principle for forward-backward stochastic control system driven by Lévy process
• A stochastic linear-quadratic problem with Lévy processes and its application to finance
• Necessary and sufficient conditions for optimal control of stochastic systems associated with Lévy processes
• 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
• Inverse optimal control of stochastic systems driven by Lévy processes
• Optimal control of mean-field backward doubly stochastic systems driven by Itô-Lévy processes
• Partially observed nonzero-sum differential game of BSDEs with delay and applications
• A maximum principle for fully coupled forward-backward stochastic control system driven by Lévy process with terminal state constraints
• 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
• Infinite horizon optimal control of forward–backward stochastic system driven by Teugels martingales with Lévy processes
• A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case

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