Stochastic maximum principle for forward-backward stochastic systems associated with Lévy processes

MaRDI QIDQ5499397zbMATH OpenFDO

Authors Fu Zhang, Qingxin Meng, Mao-ning Tang

Publication date 11 February 2015

zbMATH Keywords

stochastic controlstochastic maximum principleTeugels martingalesforward-backward stochastic differential equationsLévy processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Least squares and related methods for stochastic control systems (93E24)

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Cited in

(12)

• The maximum principle for partially observed optimal control of FBSDE driven by Teugels martingales and independent Brownian motion
• Maximum principle for forward-backward stochastic control system driven by Lévy process
• Stochastic control of SDEs associated with Lévy generators and application to financial optimization
• Optimal variational principle for backward stochastic control systems associated with Lévy processes
• Maximum principle for optimal control of McKean-Vlasov FBSDEs with Lévy process via the differentiability with respect to probability law
• A maximum principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems
• A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case
• A maximum principle for fully coupled forward-backward stochastic control system driven by Lévy process with terminal state constraints
• Maximum principle for forward-backward control system driven by Itô-Lévy processes under initial-terminal 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
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