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Maximum Principle for Forward-Backward Stochastic Control System Driven by Lévy Process
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-10-19
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
We study a stochastic optimal control problem where the controlled system is described by a forward-backward stochastic differential equation driven by Lévy process.
In order to get our main result of this paper, the maximum principle, we prove the continuity result depending on parameters about fully coupled forward-backward stochastic differential equations driven by Lévy process.
Under some additional convexity conditions, the maximum principle is also proved to be sufficient.
Finally, the result is applied to the linear quadratic problem.
American Psychological Association (APA)
Wang, Xiangrong& Huang, Hong. 2015. Maximum Principle for Forward-Backward Stochastic Control System Driven by Lévy Process. Mathematical Problems in Engineering،Vol. 2015, no. 2015, pp.1-12.
https://search.emarefa.net/detail/BIM-1074515
Modern Language Association (MLA)
Wang, Xiangrong& Huang, Hong. Maximum Principle for Forward-Backward Stochastic Control System Driven by Lévy Process. Mathematical Problems in Engineering No. 2015 (2015), pp.1-12.
https://search.emarefa.net/detail/BIM-1074515
American Medical Association (AMA)
Wang, Xiangrong& Huang, Hong. Maximum Principle for Forward-Backward Stochastic Control System Driven by Lévy Process. Mathematical Problems in Engineering. 2015. Vol. 2015, no. 2015, pp.1-12.
https://search.emarefa.net/detail/BIM-1074515
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1074515