Necessary Conditions for Optimal Control of Forward-Backward Stochastic Systems with Random Jumps

Abstract EN

This paper deals with the general optimal control problem for fully coupled forward-backward stochastic differential equations with random jumps (FBSDEJs).

The control domain is not assumed to be convex, and the control variable appears in both diffusion and jump coefficients of the forward equation.

Necessary conditions of Pontraygin's type for the optimal controls are derived by means of spike variation technique and Ekeland variational principle.

A linear quadratic stochastic optimal control problem is discussed as an illustrating example.