Maximum Principle for Forward-Backward Control System Driven by Itô-Lévy Processes under Initial-Terminal Constraints
Joint Authors
Wang, Xiangrong
Huang, Hong
Liu, Meijuan
Source
Mathematical Problems in Engineering
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-06-20
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
This paper investigates a stochastic optimal control problem where the control system is driven by Itô-Lévy process.
We prove the necessary condition about existence of optimal control for stochastic system by using traditional variational technique under the assumption that control domain is convex.
We require that forward-backward stochastic differential equations (FBSDE) be fully coupled, and the control variable is allowed to enter both diffusion and jump coefficient.
Moreover, we also require that the initial-terminal state be constrained.
Finally, as an application to finance, we show an example of recursive consumption utility optimization problem to illustrate the practicability of our result.
American Psychological Association (APA)
Liu, Meijuan& Wang, Xiangrong& Huang, Hong. 2017. Maximum Principle for Forward-Backward Control System Driven by Itô-Lévy Processes under Initial-Terminal Constraints. Mathematical Problems in Engineering،Vol. 2017, no. 2017, pp.1-13.
https://search.emarefa.net/detail/BIM-1189686
Modern Language Association (MLA)
Liu, Meijuan…[et al.]. Maximum Principle for Forward-Backward Control System Driven by Itô-Lévy Processes under Initial-Terminal Constraints. Mathematical Problems in Engineering No. 2017 (2017), pp.1-13.
https://search.emarefa.net/detail/BIM-1189686
American Medical Association (AMA)
Liu, Meijuan& Wang, Xiangrong& Huang, Hong. Maximum Principle for Forward-Backward Control System Driven by Itô-Lévy Processes under Initial-Terminal Constraints. Mathematical Problems in Engineering. 2017. Vol. 2017, no. 2017, pp.1-13.
https://search.emarefa.net/detail/BIM-1189686
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1189686