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math.OC2025
A General Maximum Principle for Progressive Optimal Control of Fully Coupled Forward-Backward Stochastic Systems with Jumps
Bin Wang, Yu Si, Jingtao Shi
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 neces…
math.OC2024
Relationship between General MP and DPP for the Stochastic Recursive Optimal Control Problem With Jumps: Viscosity Solution Framework
Bin Wang, Jingtao Shi
This paper is concerned with the relationship between general maximum principle and dynamic programming principle for the stochastic recursive optimal control problem with jumps, w…