标题:Optimal control of BSDEs with time delayed generators driven by brownian motions and poisson random measures
作者:Shi, Jingtao
通讯作者:Shi, J
作者机构:[Shi, Jingtao ] School of Mathematics, Shandong University, Jinan 250100, China
会议名称:32nd Chinese Control Conference, CCC 2013
会议日期:26 July 2013 through 28 July 2013
来源:Chinese Control Conference, CCC
出版年:2013
页码:1575-1580
关键词:Backward stochastic differential equation; maximum principle; Poisson random measure; Stochastic optimal control; time-advanced stochastic differential equation with jumps; time-delayed generator
摘要:In this paper, we study an optimal control problem where the state dynamics follows a BSDE with time delayed generator driven by Brownian motion and Poisson random measure. A sufficient maximum principle is proved, by introducing a new class of time-advanced SDE with jumps as the adjoint equation. A dynamic optimization problem of linear backward stochastic system with time-delayed generator is discussed as the application of our main result. © 2013 TCCT, CAA.
收录类别:EI;SCOPUS
资源类型:会议论文;期刊论文
原文链接:https://www.scopus.com/inward/record.uri?eid=2-s2.0-84890469104&partnerID=40&md5=019a2d129aebff5dcdf81830223a02c8
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