A general maximum principle for mean-field forward-backward doubly stochastic differential equations with jumps processes

被引：1
|
作者：
Hafayed, Dahbia [1 ]
Chala, Adel [1 ]
机构：
[1] Univ Mohamed Khider, Lab Appl Math, POB 145, Biskra 07000, Algeria
来源：
RANDOM OPERATORS AND STOCHASTIC EQUATIONS | 2019年 / 27卷 / 01期
关键词：
Mean-field forward-backward doubly stochastic differential equation with jumps processes; stochastic optimal control; adjoint equation; variational inequality; SYSTEMS;
D O I：
10.1515/rose-2019-2002
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we deal with an optimal control, where the system is driven by a mean-field forward backward doubly stochastic differential equation with jumps diffusion. We assume that the set of admissible control is convex, and we establish a necessary as well as a sufficient optimality condition for such system.
引用
收藏
页码：9 / 25
页数：17
相关论文
共 50 条
  • [1] Fully Coupled Mean-Field Forward-Backward Stochastic Differential Equations and Stochastic Maximum Principle
    Min, Hui
    Peng, Ying
    Qin, Yongli
    [J]. ABSTRACT AND APPLIED ANALYSIS, 2014,
  • [2] A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps
    Hao, Tao
    Meng, Qingxin
    [J]. ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS, 2020, 26
  • [3] General Time-Symmetric Mean-Field Forward-Backward Doubly Stochastic Differential Equations
    Zhao, Nana
    Wang, Jinghan
    Shi, Yufeng
    Zhu, Qingfeng
    [J]. SYMMETRY-BASEL, 2023, 15 (06):
  • [4] Mean-Field Forward-Backward Doubly Stochastic Differential Equations and Related Nonlocal Stochastic Partial Differential Equations
    Zhu, Qingfeng
    Shi, Yufeng
    [J]. ABSTRACT AND APPLIED ANALYSIS, 2014,
  • [5] Mean-field type forward-backward doubly stochastic differential equations and related stochastic differential games
    Qingfeng Zhu
    Lijiao Su
    Fuguo Liu
    Yufeng Shi
    Yong’ao Shen
    Shuyang Wang
    [J]. Frontiers of Mathematics in China, 2020, 15 : 1307 - 1326
  • [6] Mean-field type forward-backward doubly stochastic differential equations and related stochastic differential games
    Zhu, Qingfeng
    Su, Lijiao
    Liu, Fuguo
    Shi, Yufeng
    Shen, Yong'ao
    Wang, Shuyang
    [J]. FRONTIERS OF MATHEMATICS IN CHINA, 2020, 15 (06) : 1307 - 1326
  • [7] General Coupled Mean-Field Reflected Forward-Backward Stochastic Differential Equations
    Junsong Li
    Chao Mi
    Chuanzhi Xing
    Dehao Zhao
    [J]. Acta Mathematica Scientia, 2023, 43 : 2234 - 2262
  • [8] GENERAL COUPLED MEAN-FIELD REFLECTED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
    李俊松
    米超
    邢传智
    赵德豪
    [J]. Acta Mathematica Scientia, 2023, (05) : 2234 - 2262
  • [9] GENERAL COUPLED MEAN-FIELD REFLECTED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
    李俊松
    米超
    邢传智
    赵德豪
    [J]. Acta Mathematica Scientia., 2023, 43 (05) - 2262
  • [10] General Coupled Mean-Field Reflected Forward-Backward Stochastic Differential Equations
    Li, Junsong
    Mi, Chao
    Xing, Chuanzhi
    Zhao, Dehao
    [J]. ACTA MATHEMATICA SCIENTIA, 2023, 43 (05) : 2234 - 2262
12345