Fully coupled forward backward stochastic differential equations driven by Lévy processes and application to differential games
DOI10.1515/ROSE-2014-0016zbMATH Open1300.60073OpenAlexW2020703866MaRDI QIDQ742069FDOQ742069
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
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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)
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 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
- A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case
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