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

DOI10.1137/21m1452585zbMath1518.93159arXiv2108.10483MaRDI QIDQ6159008

Jing-Tao Shi, Yueyang Zheng

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

forward-backward stochastic differential equationrandom jumpsstochastic filteringpartial observationglobal maximum principle\(L^\beta\)-estimateprogressive optimal control

Mathematics Subject Classification ID

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

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