标题：Maximum principle for anticipated recursive stochastic optimal control problem with delay and L,vy processes
作者：Li Na; Wu Zhen
作者机构：[Li, N] School of Mathematics, Shandong University, Jinan, 250100, China, Mathematics Department, QiLu Normal Institute, Jinan, 250013, China;[ Wu, Z] 更多
通讯作者地址：[Wu, Z]Shandong Univ, Sch Math, Jinan 250100, Peoples R China.
关键词：maximum principle;stochastic optimal control;L′evy processes;stochastic diff erential equation with delay;anticipated backward diff erential equation
摘要：In this paper, we study the stochastic maximum principle for optimal control prob-lem of anticipated forward-backward system with delay and L′evy processes as the random dis-turbance. This control system can be described by the anticipated forward-backward stochastic diff erential equations with delay and L′evy processes (AFBSDEDLs), we first obtain the existence and uniqueness theorem of adapted solutions for AFBSDEDLs; combining the AFBSDEDLs’ preliminary result with certain classical convex variational techniques, the corresponding maxi-mum principle is proved.