Optimal Control Problem of Fully Coupled Forward-Backward Stochastic Systems with Poisson Jumps Under Partial Information

摘要：

In this paper,we study a class of stochastic optimal control problem with jumps under partial information.More precisely,the controlled systems are described by a fully coupled nonlinear multi-dimensional forward-backward stochastic differential equation driven by a Poisson random measure and an independent multi-dimensional Brownian motion,and all admissible control processes are required to be adapted to a given sub ltration of the ltration generated by the underlying Poisson random measure and Brownian motion.For this type of partial information stochastic optimal control problem,we give a necessary and suf cient maximum principle.All the coef cients appearing in the systems are allowed to depend on the control variables and the control domain is convex.

作者: MENG Qingxin SUN Yongzheng

作者单位: Department of Mathematics,Huzhou University,Huzhou 313000,P.R.China School of Sciences,China University of Mining and Technology,Xuzhou,221008,P.R.China

会议类型: 国际会议

会议名称: The 30th Chinese Control Conference(第三十届中国控制会议)

会议地点: 烟台

会议语种:英文

页码: 1-6

在线出版日期: 2011-07-01（万方平台首次上网日期，不代表论文的发表时间）