Sufficient Conditions of Optimality for Forward-Backward Doubly SDEs with Jumps

DOI10.1007/978-3-319-30417-5_7MaRDI QIDQ4558894zbMATH OpenOpenAlexFDO

Authors AbdulRahman Al-Hussein, Boulekhrass Gherbal

Publication date 30 November 2018

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-30417-5_7

zbMATH Keywords

Poisson processoptimal controladjoint equationsforward-backward doubly stochastic differential equationsufficient conditions of optimality

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

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Cites work

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Cited in

(7)

• On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance.
• A general maximum principle for mean-field forward-backward doubly stochastic differential equations with jumps processes
• Stochastic maximum principle for Hilbert space valued forward-backward doubly SDEs with Poisson jumps
• The relaxed optimal control problem of forward-backward stochastic doubly systems with Poisson jumps and its application to LQ problem
• A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach
• Global maximum principle for the forward--backward stochastic optimal control problem with Poisson jumps
• Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information

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