Infinite horizon jump-diffusion forward-backward stochastic differential equations and their application to backward linear-quadratic problems

DOI10.1051/cocv/2016055zbMath1375.60104arXiv1608.05688OpenAlexW2509045443MaRDI QIDQ4594363

Zhi-Yong Yu

Publication date: 23 November 2017

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.05688

zbMATH Keywords

stochastic optimal controllinear-quadratic problemmonotonicity conditionforward-backward stochastic differential equationnonzero-sum stochastic differential game

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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