Bin Wang, Yu Si, Jingtao Shi
Published 2024-07-05Version 1
This paper is concerned with a general maximum principle for the fully coupled forward-backward stochastic optimal control problem with jumps, where the control domain is not necessarily convex, within the progressively measurable framework. It is worth noting that not only the control variable enters into all the coefficients, but also the jump size "$e$" . We first proposed that the solution $Z$ of BSDEP also contains the variable "$e$", which is different from previous articles and we provide an explanation in Remark 2.1.
Optimal control problem of fully coupled forward-backward stochastic systems with Poisson jumps under partial information
Duality and approximation of stochastic optimal control problems under expectation constraints
Dynamic programming principle for stochastic optimal control problem under degenerate G-expectation
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