A Mean-Field Optimal Control for Fully Coupled Forward-Backward Stochastic Control Systems with Lévy Processes

Author:

Huang Zhen,Wang Ying,Wang Xiangrong

Publisher

Springer Science and Business Media LLC

Subject

Information Systems,Computer Science (miscellaneous)

Reference26 articles.

1. Peng S G, A general maximum principle for optimal control problems, SIAM Journal on Control and Optimization, 1990, 28: 966–979.

2. Peng S G, Backward stochastic differential equations and application to optimal control, Applied Mathematics and Optimization, 1993, 27(2): 125–144.

3. Wu Z, Maximum principle for optimal control problem of fully coupled forward-backward stochastic control system, Journal of Systems Science and Mathematical Sciences, 1998, 11(3): 249–259.

4. Shi J and Wu Z, The maximum principle for fully coupled forward-backward stochastic control system, Acta Autom Sin, 2006, 32(2): 161–169.

5. Shi J and Wu Z, Maximum principle for fully coupled forward-backward stochastic control system with random jumps and applications to finance, Journal of Systems Science and Complexity, 2010, 23(2): 219–231.

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