The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps

DOI10.1137/21M1452585MaRDI QIDQ6159008zbMATH OpenFDO

Authors Yueyang Zheng, Jingtao Shi

Publication date 1 June 2023

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2108.10483

zbMATH Keywords

\(L^\beta\)-estimateforward-backward stochastic differential equationglobal maximum principlepartial observationprogressive optimal controlrandom jumpsstochastic filtering

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

Abstract: IIn this paper, we study a partially observed progressive optimal control problem of forward-backward stochastic differential equations with random jumps, where the control domain is not necessarily convex, and the control variable enter into all the coefficients. In our model, the observation equation is not only driven by a Brownian motion but also a Poisson random measure, which also have correlated noises with the state equation. For preparation, we first derive the existence and uniqueness of the solutions to the fully coupled forward-backward stochastic system with random jumps and its estimation in $$-space under some assumptions, and the non-linear filtering equation of partially observed stochastic system with random jumps. Then we derive the partially observed global maximum principle with random jumps. To show its applications, a partially observed linear quadratic progressive optimal control problem with random jumps is investigated, by the maximum principle and stochastic filtering. State estimate feedback representation of the optimal control is given in a more explicit form by introducing some ordinary differential equations.

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Cited in

(13)

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• Relationship between general MP and DPP for the stochastic recursive optimal control problem with jumps
• Fractional backward stochastic partial differential equations with applications to stochastic optimal control of partially observed systems driven by Lévy processes

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