标题:The Optimal Control of Fully-Coupled Forward-Backward Doubly Stochastic Systems Driven by Itô-Lévy Processes
作者:Wang W.; Wu J.; Liu Z.
作者机构:[Wang, W] School of Control Science and Engineering, Shandong University, Jinan, 250061, China;[ Wu, J] School of Mathematics and Statistics, Central 更多
通讯作者:Wu, J(wujinbiao@csu.edu.cn)
通讯作者地址:[Wu, J] School of Mathematics and Statistics, Central South UniversityChina;
来源:Journal of Systems Science and Complexity
出版年:2019
DOI:10.1007/s11424-018-7300-z
关键词:Forward-backward doubly stochastic differential equations; Itô-Lévy processes; linear quadratic problem; maximum principle; variational equation
摘要:This paper studies the optimal control of a fully-coupled forward-backward doubly stochastic system driven by Itô-Lévy processes under partial information. The existence and uniqueness of the solution are obtained for a type of fully-coupled forward-backward doubly stochastic differential equations (FBDSDEs in short). As a necessary condition of the optimal control, the authors get the stochastic maximum principle with the control domain being convex and the control variable being contained in all coefficients. The proposed results are applied to solve the forward-backward doubly stochastic linear quadratic optimal control problem. © 2018, Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences and Springer-Verlag GmbH Germany, part of Springer Nature.
收录类别:SCOPUS
资源类型:期刊论文
原文链接:https://www.scopus.com/inward/record.uri?eid=2-s2.0-85059851343&doi=10.1007%2fs11424-018-7300-z&partnerID=40&md5=080502e3ba4cd8a0f48ca4b38485bf12
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