Optimal control of coupled forward-backward stochastic system with jumps and related Hamilton-Jacobi-Bellman equations

Details Optimal control of coupled forward-backward stochastic system with jumps and related Hamilton-Jacobi-Bellman equations Optimal control of coupled forward-backward stochastic system with jumps and related Hamilton-Jacobi-Bellman equations

2011-11-20

arxiv.org/abs/1111.4642v1

Mathematics

Probability

Scientific paper

In this paper we investigate a kind of optimal control problem of coupled forward-backward stochastic system with jumps whose cost functional is defined through a coupled forward-backward stochastic differential equation with Brownian motion and Poisson random measure. For this end, we first study the regularity of solutions for this kind of forward-backward stochastic differential equations. We obtain that the value function is a deterministic function and satisfies the dynamic programming principle for this kind of optimal control problem. Moreover, we prove that the value functions is a viscosity solutions of the associated Hamilton-Jacobi-Bellman equations with integral-differential operators.

Affiliated with

Also associated with

No associations

Rating

Optimal control of coupled forward-backward stochastic system with jumps and related Hamilton-Jacobi-Bellman equations does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Optimal control of coupled forward-backward stochastic system with jumps and related Hamilton-Jacobi-Bellman equations, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Optimal control of coupled forward-backward stochastic system with jumps and related Hamilton-Jacobi-Bellman equations will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-130240