A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case

DOI10.1155/2020/1768507zbMATH Open1459.93191OpenAlexW3033013433MaRDI QIDQ778640FDOQ778640

Authors: Hong Huang, Ying Li, Xiangrong Wang 

Publication date: 3 July 2020

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/1768507

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Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Cites Work

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Cited In (4)

• Necessary and sufficient conditions for optimal control of stochastic systems associated with Lévy processes
• Optimal variational principle for backward stochastic control systems associated with Lévy processes
• Stochastic maximum principle for recursive optimal control problems with varying terminal time
• The stochastic control problem for forward-backward doubly system with Lévy processes

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