Cover Image

A General Maximum Principle for Progressive Optimal Control of Fully Coupled Forward-Backward Stochastic Systems with Jumps

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Wang, Bin, Si, Yu, Shi, Jingtao
Format:	Preprint
Published:	2024
Subjects:	Optimization and Control 93E20, 49K45, 60H10, 60G55
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Global Maximum Principle for Partially Observed Risk-Sensitive Progressive Optimal Control of FBSDE with Poisson Jumps
by: Lin, Jingtao, et al.
Published: (2025)

A Partially Observed Stochastic Linear Stackelberg Differential Game with Poisson Jumps under Mean-Variance Criteria
by: Lin, Jingtao, et al.
Published: (2026)

Backward Linear-Quadratic Mean Field Stochastic Differential Games: A Direct Method
by: Si, Yu, et al.
Published: (2024)

Direct Approach of Linear-Quadratic Stackelberg Mean Field Games of Backward-Forward Stochastic Systems
by: Cong, Wenyu, et al.
Published: (2024)

Nonlocal Stochastic Optimal Control for Diffusion Processes: Existence, Maximum Principle and Financial Applications
by: Anita, Stefana-Lucia, et al.
Published: (2025)

Decentralized Strategies for Backward Linear-Quadratic Mean Field Games and Teams
by: Si, Yu, et al.
Published: (2025)

Relationship between Maximum Principle and Dynamic Programming Principle for Risk-Sensitive Stochastic Optimal Control Problems with Applications
by: Dong, Huanqing, et al.
Published: (2025)

A Linear-Quadratic Stackelberg Differential Game with Mixed Deterministic and Stochastic Controls
by: Shi, Jingtao, et al.
Published: (2020)

Linear-Quadratic Mean Field Stackelberg Stochastic Differential Game with Partial Information and Common Noise
by: Si, Yu, et al.
Published: (2024)

General Linear-Quadratic Mean Field Stochastic Differential Game with Common Noise: A Direct Method
by: Si, Yu, et al.
Published: (2025)

Near Optimality of Discrete-Time Approximations for Controlled McKean-Vlasov Diffusions and Interacting Particle Systems
by: Pradhan, Somnath, et al.
Published: (2025)

Linear-Quadratic Partially Observed Mean Field Stackelberg Stochastic Differential Game with Applications
by: Si, Yu, et al.
Published: (2025)

An overlapping information linear-quadratic Stackelberg stochastic differential game with two leaders and two followers
by: Si, Yu, et al.
Published: (2024)

Maximum Principles for Partially Observed Controls of Forward SPDEs and Backward SDEs with Jumps
by: Qian, Hongjiang, et al.
Published: (2026)

Pontryagin Maximum Principle for McKean-Vlasov Stochastic Reaction-Diffusion Equations
by: Spille, Johan Benedikt, et al.
Published: (2025)

A Novel Approach to Peng's Maximum Principle for McKean-Vlasov Stochastic Differential Equations
by: Spille, Johan Benedikt, et al.
Published: (2026)

Direct Approach of Indefinite Linear-Quadratic Mean Field Games
by: Cong, Wenyu, et al.
Published: (2024)

Optimal control of Newtonian fluids in a stochastic environment
by: Chemetov, Nikolai, et al.
Published: (2024)

Linear-Quadratic Stackelberg Mean Field Games and Teams with Arbitrary Population Sizes
by: Cong, Wenyu, et al.
Published: (2024)

Linear-Quadratic Mean Field Games with Common Noise: A Direct Approach
by: Cong, Wenyu, et al.
Published: (2025)

The Optimal Control Problem of Stochastic Differential System with Extended Mixed Delays and Applications
by: Li, Xinpo, et al.
Published: (2026)

A BSDE approach to the asymmetric risk-sensitive optimization and its applications
by: Hu, Mingshang, et al.
Published: (2023)

Two Stochastic Control Methods for Mean-Variance Portfolio Selection of Jump Diffusions and Their Relationship
by: Zhang, Qiyue, et al.
Published: (2025)

Global maximum principle for optimal control of stochastic Volterra equations with singular kernels: An infinite dimensional approach
by: Hamaguchi, Yushi
Published: (2025)

MP and DPP for Mean-Variance Portfolio Selection Problem with Poisson Jumps, Recursive Utility and Their Relationship
by: Zhang, Qiyue, et al.
Published: (2025)

The Schrödinger Bridge Problem for Jump Diffusions with Regime Switching
by: Zlotchevski, Andrei, et al.
Published: (2025)

A Control Theoretical Approach to Mean Field Games and Associated Master Equations
by: Bensoussan, Alain, et al.
Published: (2024)

Relationship between MP and DPP for Risk-Sensitive Stochastic Optimal Control Problems: Viscosity Solution Framework
by: Dong, Huanqing, et al.
Published: (2026)

Markov approximation for controlled Hawkes Jump-Diffusions with general kernels
by: Khabou, Mahmoud, et al.
Published: (2025)

Maximum Principle of Stochastic Optimal Control Problems with Model Uncertainty
by: Hao, Tao, et al.
Published: (2023)

Optimality Conditions for Control Systems Governed by Monotone Stochastic Evolution Equations
by: Ciotir, Ioana, et al.
Published: (2025)

Controlled Diffusions under Full, Partial and Decentralized Information: Existence of Optimal Policies and Discrete-Time Approximations
by: Pradhan, Somnath, et al.
Published: (2023)

Stochastic Linear-Quadratic Optimal Control Problems with Markovian Regime Switching and $H_\infty$ Constraint under Partial Information
by: Xiang, Na, et al.
Published: (2026)

Stochastic control with self-exciting processes
by: Eyjolfsson, Heidar, et al.
Published: (2026)

Stochastic Optimal Linear Quadratic Controls with A Recursive Cost Functional
by: Li, Lin, et al.
Published: (2026)

Optimal Control of Stochastic Partial Differential Equations with Partial Observations: Stochastic Maximum Principles and Numerical Approximation
by: Cao, Yanzhao, et al.
Published: (2025)

Stochastic Optimal Linear Quadratic Controls with A Recursive Cost Functional in Infinite Horizon
by: Li, Lin, et al.
Published: (2026)

Stochastic Optimal Control for Jump Diffusion Models with Singular Drifts
by: Bogso, Antoine-Marie, et al.
Published: (2026)

Global Convergence of Successive Approximations for Non-convex Stochastic Optimal Control Problems
by: Ji, Shaolin, et al.
Published: (2022)

Extended Dynamic Programming Principle and Applications to Time-Inconsistent Control
by: Xu, Yuhong, et al.
Published: (2022)