Maximum principle for forward-backward stochastic control system with random jumps and applications to finance

Journal of Systems Science and Complexity

Volumn 23, Issue 2, 2010, Pages 219-231

  Shi, Jingtao ^a   Wu, Zhen ^a  

^a SHANDONG UNIVERSITY   (China)

Author keywords

Forward backward stochastic control system; Maximum principle; Poisson random measure; Recursive utility; Stochastic optimal control

Indexed keywords

CONTROL VARIABLE; EXPLICIT EXPRESSIONS; FORWARD-BACKWARD STOCHASTIC CONTROL SYSTEM; FUNCTIONAL OPTIMIZATION PROBLEM; MEAN VARIANCE; OPTIMAL CONTROLS; OPTIMAL PORTFOLIO SELECTION; POISSON RANDOM MEASURE; PORTFOLIO SELECTION; RECURSIVE UTILITY; STATE VARIABLES; STOCHASTIC OPTIMAL CONTROL;

FEEDBACK; MAXIMUM PRINCIPLE; OPTIMIZATION; STATE FEEDBACK; STOCHASTIC SYSTEMS;

STOCHASTIC CONTROL SYSTEMS;

EID: 77952417631     PISSN: 10096124     EISSN: 15597067     Source Type: Journal    
DOI: 10.1007/s11424-010-7224-8     Document Type: Article

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