Optimal variational principle for backward stochastic control systems associated with Lévy processes

被引：0
作者：
MaoNing Tang
Qi Zhang
机构：
[1] Huzhou University,Department of Mathematical Sciences
[2] Fudan University,School of Mathematical Sciences
来源：
Science China Mathematics | 2012年 / 55卷
关键词：
stochastic control; stochastic maximum principle; Lévy processes; Teugel’s martingales; backward stochastic differential equations; 93E20; 60H10; 60H30;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The paper is concerned with optimal control of backward stochastic differential equation (BSDE) driven by Teugel’s martingales and an independent multi-dimensional Brownian motion, where Teugel’s martingales are a family of pairwise strongly orthonormal martingales associated with Lévy processes (see e.g., Nualart and Schoutens’ paper in 2000). We derive the necessary and sufficient conditions for the existence of the optimal control by means of convex variation methods and duality techniques. As an application, the optimal control problem of linear backward stochastic differential equation with a quadratic cost criteria (or backward linear-quadratic problem, or BLQ problem for short) is discussed and characterized by a stochastic Hamilton system.
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页码：745 / 761
页数：16
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