Optimal control of mean-field backward doubly stochastic systems driven by Itô-Lévy processes

DOI10.1080/00207179.2018.1502473zbMATH Open1436.93144OpenAlexW2883354582MaRDI QIDQ5221392FDOQ5221392

Authors: Jinbiao Wu, Zaiming Liu 

Publication date: 25 March 2020

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179.2018.1502473

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zbMATH Keywords

stochastic maximum principlestochastic optimal controlmean-field backward doubly stochastic differential equations driven by Itô-Lévy processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Control/observation systems governed by ordinary differential equations (93C15) Optimal stochastic control (93E20)

Cites Work

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Cited In (11)

• Partial information stochastic differential games for backward stochastic systems driven by Lévy processes
• Well-posedness and regularity of mean-field backward doubly stochastic Volterra integral equations and applications to dynamic risk measures
• On mean-field control problems for backward doubly stochastic systems
• Inverse optimal control of stochastic systems driven by Lévy processes
• Stochastic optimal control for dynamics of forward backward doubly SDEs of mean-field type
• Mean-field backward doubly stochastic differential equation and its applications
• Stochastic viscosity solutions for stochastic integral-partial differential equations
• Mean-field type forward-backward doubly stochastic differential equations and related stochastic differential games
• The optimal control of fully-coupled forward-backward doubly stochastic systems driven by Itô-Lévy processes
• The stochastic control problem for forward-backward doubly system 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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