标题：Optimal control of BSDEs with time delayed generators driven by brownian motions and poisson random measures
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
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.