Fully coupled forward backward stochastic differential equations driven by Lévy processes and application to differential games

DOI10.1515/ROSE-2014-0016MaRDI QIDQ742069zbMATH OpenOpenAlexFDO

Authors Fouzia Baghery, Nabil Khelfallah, Brahim Mezerdi, Isabelle Turpin

Publication date 17 September 2014

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose-2014-0016

zbMATH Keywords

stochastic differential gamefully coupled forward-backward stochastic differential equationLévy process

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Differential games and control (49N70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)

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Cited in

(9)

• Partial information stochastic differential games for backward stochastic systems driven by Lévy processes
• The maximum principle for optimal control of mean-field FBSDE driving by Teugels martingales with terminal state constraints
• BSDE with rcll reflecting barrier driven by a Lévy process
• Maximum principle for forward-backward stochastic control system driven by Lévy process
• Forward-backward SDEs driven by Lévy process in stopping time duration
• 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
• 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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