IDEAS home Printed from https://ideas.repec.org/a/hin/jnijsa/258674.html
   My bibliography  Save this article

Necessary Conditions for Optimal Control of Forward-Backward Stochastic Systems with Random Jumps

Author

Listed:
  • Jingtao Shi

Abstract

This paper deals with the general optimal control problem for fully coupled forward-backward stochastic differential equations with random jumps (FBSDEJs). The control domain is not assumed to be convex, and the control variable appears in both diffusion and jump coefficients of the forward equation. Necessary conditions of Pontraygin's type for the optimal controls are derived by means of spike variation technique and Ekeland variational principle. A linear quadratic stochastic optimal control problem is discussed as an illustrating example.

Suggested Citation

  • Jingtao Shi, 2012. "Necessary Conditions for Optimal Control of Forward-Backward Stochastic Systems with Random Jumps," International Journal of Stochastic Analysis, Hindawi, vol. 2012, pages 1-50, April.
    • Handle: RePEc:hin:jnijsa:258674
    DOI: 10.1155/2012/258674
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/IJSA/2012/258674.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/IJSA/2012/258674.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2012/258674?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:jnijsa:258674. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.