A General Maximum Principle for Progressive Optimal Control of Fully Coupled Forward-Backward Stochastic Systems with Jumps
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arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866917968099672064 |
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| author | Wang, Bin Si, Yu Shi, Jingtao |
| author_facet | Wang, Bin Si, Yu Shi, Jingtao |
| contents | This paper is concerned with a general maximum principle for the fully coupled forward-backward stochastic optimal control problem with jumps, where the control domain is not necessarily convex, within the progressively measurable framework. A distinct feature in this paper is that the solution $Z$ of BSDEPs could include the variable ``$e$'', further, the diffusion term of BSDEPs takes the form $\int_{\mathcal{E}}Z_{(t,e)}ν(d e)d W_t$ rather than the conventional $Z_t dW_t$, reflecting the essential coupling between the solution component $Z$ and the Polish space $\mathcal{E}$. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_04201 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A General Maximum Principle for Progressive Optimal Control of Fully Coupled Forward-Backward Stochastic Systems with Jumps Wang, Bin Si, Yu Shi, Jingtao Optimization and Control 93E20, 49K45, 60H10, 60G55 This paper is concerned with a general maximum principle for the fully coupled forward-backward stochastic optimal control problem with jumps, where the control domain is not necessarily convex, within the progressively measurable framework. A distinct feature in this paper is that the solution $Z$ of BSDEPs could include the variable ``$e$'', further, the diffusion term of BSDEPs takes the form $\int_{\mathcal{E}}Z_{(t,e)}ν(d e)d W_t$ rather than the conventional $Z_t dW_t$, reflecting the essential coupling between the solution component $Z$ and the Polish space $\mathcal{E}$. |
| title | A General Maximum Principle for Progressive Optimal Control of Fully Coupled Forward-Backward Stochastic Systems with Jumps |
| topic | Optimization and Control 93E20, 49K45, 60H10, 60G55 |
| url | https://arxiv.org/abs/2407.04201 |