A Maximum Principle for Fully Coupled Forward-Backward Stochastic Control System Driven by Lvy Process with Terminal State Constraints

被引：1

作者：

HUANG Hong ^{[1
,2
]}

WANG Xiangrong ^{[1
]}

LIU Meijuan ^{[1
]}

机构：

[1] Institute of Financial Engineering, Shandong University of Science and Technology

[2] Institute of Financial Engineering, Shandong Women's University

来源：

Journal of Systems Science & Complexity | 2018年 / 31卷 / 04期

关键词：

Forward-backward stochastic control system driven by Lvy process; maximum principle; optimal portfolio; terminal state constraint;

D O I：

暂无

中图分类号：

O232 [最优控制];

学科分类号：

070105 ; 0711 ; 071101 ; 0811 ; 081101 ;

摘要：

This paper is concerned with a fully coupled forward-backward stochastic optimal control problem where the controlled system is driven by L′evy 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.

引用

页码：859 / 874

页数：16

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