Maximum principles for optimal control of forward-backward stochastic differential equations with jumps

SIAM Journal on Control and Optimization

Volumn 48, Issue 5, 2009, Pages 2945-2976

  Øksendal, Bernt ^a,b   Sulem, Agnès ^c  

^a UNIVERSITY OF OSLO   (Norway)

^b NORWEGIAN SCHOOL OF ECONOMICS   (Norway)

^c INRIA   (France)

Author keywords

Convex risk measures; Forward backward stocha stic differential equations; Malliavin calculus; Maximum principle; Risk minimization; Stochastic optimal control

Indexed keywords

CONVEX RISK MEASURES; FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; MALLIAVIN CALCULUS; MAXIMUM PRINCIPLE FOR OPTIMAL CONTROL; NON-MARKOVIAN; OPTIMAL CONTROLS; PARTIAL INFORMATION; RISK MINIMIZATION; STOCHASTIC OPTIMAL CONTROL;

CALCULATIONS; DIFFERENTIAL EQUATIONS; DIFFERENTIATION (CALCULUS); MAXIMUM PRINCIPLE; MEASUREMENT THEORY; OPTIMIZATION; RISK ASSESSMENT; STOCHASTIC SYSTEMS;

STOCHASTIC CONTROL SYSTEMS;

EID: 72149118497     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/080739781     Document Type: Article

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