Necessary and sufficient conditions for optimal control of stochastic systems associated with Lévy processes

DOI10.1007/S11432-009-0191-9zbMATH Open1182.49023OpenAlexW2149980375MaRDI QIDQ848401FDOQ848401

Authors: Qingxin Meng, Mao-ning Tang 

Publication date: 3 March 2010

Published in: Science in China. Series F (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11432-009-0191-9

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zbMATH Keywords

maximum principleadjoint equationTeugel's martingales

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Cites Work

• Conjugate convex functions in optimal stochastic control
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• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Backward Stochastic Differential Equations in Finance
• The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients
• Adapted solution of a backward stochastic differential equation
• A stochastic linear-quadratic problem with Lévy processes and its application to finance
• Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
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• State Feedback $H_\infty$ Control for a Class of Nonlinear Stochastic Systems
• BSDE associated with Lévy processes and application to PDIE
• Chaotic and predictable representations for Lévy processes.
• Partial Information Linear Quadratic Control for Jump Diffusions
• A stochastic maximum principle for systems with jumps, with applications to finance.

Cited In (18)

• 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
• The maximum principle for partially observed optimal control of FBSDE driven by Teugels martingales and independent Brownian motion
• Maximum principle for forward-backward stochastic control system driven by Lévy process
• On mean-field partial information maximum principle of optimal control for stochastic systems with Lévy processes
• On optimal control of mean-field stochastic systems driven by Teugels martingales via derivative with respect to measures
• Optimality conditions for partial information stochastic control problems driven by Lévy processes
• Optimal variational principle for backward stochastic control systems associated with Lévy processes
• On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures
• Inverse optimal control of stochastic systems driven by Lévy processes
• Forward-backward SDEs driven by Lévy process in stopping time duration
• Martingale conditions for the optimal control of continuous time stochastic systems
• Linear-quadratic optimal control problems for mean-field stochastic differential equation with Lévy process
• Stochastic control based on time-change transformations for stochastic processes with Lévy noise
• A maximum principle for fully coupled forward-backward stochastic control system driven by Lévy process with terminal state constraints
• 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
• Infinite horizon optimal control of forward-backward stochastic system driven by Teugels martingales with Lévy processes

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