Optimal Control of Forward-Backward Stochastic Differential System of Jump Diffusion with Observation Noise: Stochastic Maximum Principle

2017/08/24 by Qingxin Meng, Meng, Qingxin
Economics, Econometrics and Finance · Mathematics · Social Sciences · #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Mathematical Biology Tumor Growth #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1708.07751

openalex publication_date 2017/08/24 · openalex created_date 2017/08/31 · openalex updated_date 2026/07/28

Abstract

This paper is concerned with the partial information optimal control problem of wa controlled forward-backward stochastic differential equation of jump diffusion with correlated noises between the system and the observation. For this type of partial information optimal control problem, Necessary and sufficient optimality conditions, in the form of Pontryagin maximum principle, for the partial information optimal control are established using a unified way. Moreover, our admissible control process u(⋅) satisfies the following integrable condition condition: \beginequation* \mathbb E[∫₀^T|u(t)|⁴ dt]

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