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The Optimal Control Problem with State Constraints for Fully Coupled Forward-Backward Stochastic Systems with Jumps
We focus on the fully coupled forward-backward stochastic differential equations with jumps and investigate the associated stochastic optimal control problem (with the nonconvex control and the convex state constraint) along with stochastic maximum principle. To derive the necessary condition (i.e.,...
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| Autor principal: | |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Hindawi Limited
2014-01-01
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| Colecção: | Abstract and Applied Analysis |
| Acesso em linha: | http://dx.doi.org/10.1155/2014/216053 |
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