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

2024/07/05 by Bin Wang, Wang, Bin, Yu Si +3
Engineering · #49K45 #60G55 #60H10 #93E20 #Aerospace Engineering and Control Systems #FOS: Mathematics #Optimization and Control (math.OC)

paper · pdf · doi:10.48550/arxiv.2407.04201

openalex publication_date 2024/07/05 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

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 ∫_EZ_(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 E.

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