The Optimal Control Problem with State Constraints for Fully Coupled Forward-Backward Stochastic Systems with Jumps
Author
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-02-13
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
We focus on the fully coupled forward-backward stochastic differential equations with jumps and investigate the associated stochastic optimal control problem (with the nonconvex control and the convex state constraint) along with stochastic maximum principle.
To derive the necessary condition (i.e., stochastic maximum principle) for the optimal control, first we transform the fully coupled forward-backward stochastic control system into a fully coupled backward one; then, by using the terminal perturbation method, we obtain the stochastic maximum principle.
Finally, we study a linear quadratic model.
American Psychological Association (APA)
Wei, Qingmeng. 2014. The Optimal Control Problem with State Constraints for Fully Coupled Forward-Backward Stochastic Systems with Jumps. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-12.
https://search.emarefa.net/detail/BIM-1013493
Modern Language Association (MLA)
Wei, Qingmeng. The Optimal Control Problem with State Constraints for Fully Coupled Forward-Backward Stochastic Systems with Jumps. Abstract and Applied Analysis No. 2014 (2014), pp.1-12.
https://search.emarefa.net/detail/BIM-1013493
American Medical Association (AMA)
Wei, Qingmeng. The Optimal Control Problem with State Constraints for Fully Coupled Forward-Backward Stochastic Systems with Jumps. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-12.
https://search.emarefa.net/detail/BIM-1013493
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1013493