A Maximum Principle for Fully Coupled Forward-Backward Stochastic Control System Driven by Lévy Process with Terminal State Constraints View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2018-08

AUTHORS

Hong Huang, Xiangrong Wang, Meijuan Liu

ABSTRACT

This paper is concerned with a fully coupled forward-backward stochastic optimal control problem where the controlled system is driven by Lévy process, while the forward state is constrained in a convex set at the terminal time. The authors use an equivalent backward formulation to deal with the terminal state constraint, and then obtain a stochastic maximum principle by Ekeland’s variational principle. Finally, the result is applied to the utility optimization problem in a financial market. More... »

PAGES

859-874

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s11424-017-6209-2

DOI

http://dx.doi.org/10.1007/s11424-017-6209-2

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1099698450


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