Name
Title | ||
|---|---|---|
Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps |
Abstract | ||
|---|---|---|
We present various versions of the maximum principle for optimal control of forward-backward stochastic differential equations (SDE) with jumps. Our study is motivated by risk minimization via $g$-expectations. We first prove a general sufficient maximum principle for optimal control with partial information of a stochastic system consisting of a forward and a backward SDE driven by Lévy processes. We then present a Malliavin calculus approach which allows us to handle non-Markovian systems. Finally, we give examples of applications. |
Year | DOI | Venue |
|---|---|---|
2009 | 10.1137/080739781 | SIAM J. Control and Optimization |
Keywords | Field | DocType |
optimal control,stochastic differential equation,stochastic optimal control,maximum principle,malliavin calculus | Differential equation,Mathematical optimization,Maximum principle,Optimal control,Stochastic process,Stochastic differential equation,Malliavin calculus,Stochastic partial differential equation,Mathematics,Stochastic control | Journal |
Volume | Issue | ISSN |
48 | 5 | 0363-0129 |
Citations | PageRank | References |
15 | 1.96 | 2 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Bernt Oksendal | 1 | 89 | 15.84 |
| Agnès Sulem | 2 | 98 | 20.64 |