Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lévy processes

DOI10.1007/S11766-014-3171-9MaRDI QIDQ462276zbMATHOpenAlexFDO

Authors Zhen Wu, Na Li

Publication date 3 November 2014

Published in Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11766-014-3171-9

zbMATH Keywords

maximum principlestochastic optimal controlanticipated backward differential equationstochastic differential equation with delayLévy processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 1343080 (Why is no real title available?)
• Adapted solution of a backward stochastic differential equation
• Anticipated backward stochastic differential equations
• BSDE associated with Lévy processes and application to PDIE
• Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
• Backward stochastic differential equations and applications to optimal control
• Chaotic and predictable representations for Lévy processes.
• Delayed stochastic linear-quadratic control problem and related applications
• Dynamic programming principle for stochastic recursive optimal control problem with delayed systems
• Maximum principle for optimal control of fully coupled forward-backward stochastic differential delayed equations
• Maximum principle for the stochastic optimal control problem with delay and application
• Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes

Cited in

(4)

• Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information
• Sufficient maximum principle for stochastic optimal control problems with general delays
• Applications of anticipated BSDEs driven by time-changing Lévy noises
• Non-zero-sum differential games of delayed backward doubly stochastic systems and their application

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