The maximum principle for stochastic control problem with jumps in progressive structure

DOI10.1007/S10957-023-02302-4MaRDI QIDQ6086128zbMATH OpenOpenAlexFDO

Authors Yuanzhuo Song, Zhen Wu

Publication date 9 November 2023

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10957-023-02302-4

zbMATH Keywords

maximum principleprogressive structurerandom jumps

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cites work

• A General Stochastic Maximum Principle for Optimal Control Problems
• Backward stochastic differential equations and applications to optimal control
• scientific article; zbMATH DE number 1343080 (Why is no real title available?)
• scientific article; zbMATH DE number 481040 (Why is no real title available?)
• Maximum principle for forward-backward stochastic control system with random jumps and applications to finance
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps

Cited in

(5)

• The maximum principle for stochastic control problem with Markov chain in progressive structure
• The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps
• A maximum principle for progressive optimal control of mean-field forward-backward stochastic system involving random jumps and impulse controls
• Relationship between general MP and DPP for the stochastic recursive optimal control problem with jumps
• A progressive maximum principle of fully coupled mean-field system with jumps

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