We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
The optimal control problem with state constraints for forward-backward stochastic systems with jumps.
- Authors
QINGMENG WEI
- Abstract
In this paper, we investigate the stochastic optimal control problem for forward-backward stochastic system with jumps, while the forward terminal state is constrained in a convex set. By transforming the original forward-backward controlled model into a pure backward controlled one, using the terminal perturbation method, we derive the stochastic maximum principle, i.e. the necessary condition for the optimal control. Finally, under the state constraints, the corresponding optimal control problem of the linear quadratic stochastic model with jumps is discussed.
- Subjects
STOCHASTIC analysis; OPTIMAL control theory; PERTURBATION theory; CONTROL theory (Engineering); MATHEMATICAL analysis
- Publication
IMA Journal of Mathematical Control & Information, 2017, Vol 34, Issue 2, p463
- ISSN
0265-0754
- Publication type
Article
- DOI
10.1093/imamci/dnv053