Maximum principle for optimal control of forward-backward doubly stochastic differential equations with jumps

Abstract

In this paper we consider the maximum principle of optimal control for a stochastic control problem. This problem is governed by a system of fully coupled multi-dimensional forward-backward doubly stochastic differential equation with Poisson jumps. Moreover, all the coefficients appearing in this system are allowed to be random and depend on the control variable. We derive, in particular, sufficient conditions for optimality for this stochastic optimal control problem.

References in corpus (2)

• Optimal control problem of fully coupled forward-backward stochastic systems with Poisson jumps under partial information
• General Doubly Stochastic Maximum Principle and Its Applications to Optimal Control of SPDEs