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

DOI10.1007/S11432-009-0191-9MaRDI QIDQ848401zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• A stochastic linear-quadratic problem with Lévy processes and its application to finance
• A stochastic maximum principle for systems with jumps, with applications to finance.
• Adapted solution of a backward stochastic differential equation
• BSDE associated with Lévy processes and application to PDIE
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
• Chaotic and predictable representations for Lévy processes.
• Conjugate convex functions in optimal stochastic control
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Partial Information Linear Quadratic Control for Jump Diffusions
• State Feedback $H_\infty$ Control for a Class of Nonlinear Stochastic Systems
• The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients

Cited in

(18)

• Partial information stochastic differential games for backward stochastic systems driven by Lévy processes
• The maximum principle for partially observed optimal control of FBSDE driven by Teugels martingales and independent Brownian motion
• The maximum principle for optimal control of mean-field FBSDE driving by Teugels martingales with terminal state constraints
• On mean-field partial information maximum principle of optimal control for stochastic systems with Lévy processes
• Maximum principle for forward-backward stochastic control system driven by Lévy process
• Optimality conditions for partial information stochastic control problems driven by Lévy processes
• On optimal control of mean-field stochastic systems driven by Teugels martingales via derivative with respect to measures
• 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 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
• A mean-field optimal control for fully coupled forward-backward stochastic control systems with Lévy processes
• Infinite horizon optimal control of forward-backward stochastic system driven by Teugels martingales with Lévy processes

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