Necessary Condition for Optimal Control of Fully Coupled Forward-Backward Stochastic System with Random Jumps

摘要：

One kind of fully coupled forward-backward stochastic control system with random jumps is considered here. Necessary condition of Pontraygin’s type maximum principle for the optimal control is derived. The control domain is not assumed to be convex and the control variable appears neither in the diffusion nor the jump coefficient of the forward equation. A linear quadratic stochastic optimal control problem is discussed as an illustrate example.

关键词： Stochastic optimal control backward stochastic differential equation fully coupled forward-backward stochastic system Poisson random measure maximum principle

作者: SHI Jingtao WU Zhen

作者单位: School of Mathematics, Shandong University, Jinan 250100, P. R. China

会议类型: 国际会议

会议名称: The 31st Chinese Control Conference(第三十一届中国控制会议)

会议地点: 合肥

会议语种:英文

页码: 1620-1627

在线出版日期: 2012-07-01（万方平台首次上网日期，不代表论文的发表时间）