A mean-field maximum principle for optimal control of forward–backward stochastic differential equations with Poisson jump processes

International Journal of Dynamics and Control

Volumn 1, Issue 4, 2013, Pages 300-315

  Hafayed, Mokhtar ^a  

^a UNIVERSITY OF BISKRA   (Algeria)

Author keywords

Mean field forward backward stochastic differential equation with jump processes; Optimal stochastic control; Poisson martingale measure; Spike variation techniques; Stochastic maximum principle

Indexed keywords

MARKOV PROCESSES; MAXIMUM PRINCIPLE; OPTIMAL CONTROL SYSTEMS; POISSON EQUATION; STOCHASTIC CONTROL SYSTEMS; STOCHASTIC SYSTEMS;

BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; MARTINGALE MEASURES; OPTIMAL STOCHASTIC CONTROL; SPIKE VARIATION TECHNIQUES; STOCHASTIC MAXIMUM PRINCIPLES;

PROCESS CONTROL;

EID: 84975259867     PISSN: 2195268X     EISSN: 21952698     Source Type: Journal    
DOI: 10.1007/s40435-013-0027-8     Document Type: Article

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