Maximum principle for forward-backward stochastic control system with random jumps and applications to finance

Journal of Systems Science and Complexity ◽

10.1007/s11424-010-7224-8 ◽

2010 ◽

Vol 23 (2) ◽

pp. 219-231 ◽

Author(s):

Jingtao Shi ◽

Zhen Wu

Keyword(s):

Control System ◽

Maximum Principle ◽

Stochastic Control ◽

Stochastic Control System ◽

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Maximum Principle for Fully Coupled Forward-backward Stochastic Control System with Random Jumps

2007 Chinese Control Conference ◽

10.1109/chicc.2006.4346896 ◽

2006 ◽

Author(s):

Shi Jingtao ◽

Wu Zhen

Keyword(s):

Control System ◽

Maximum Principle ◽

Stochastic Control ◽

Stochastic Control System ◽

Random Jumps ◽

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Maximum Principle for Markov Regime-Switching Forward–Backward Stochastic Control System with Jumps and Relation to Dynamic Programming

Journal of Optimization Theory and Applications ◽

10.1007/s10957-017-1068-5 ◽

2017 ◽

Vol 176 (2) ◽

pp. 319-350 ◽

Author(s):

Zhongyang Sun ◽

Junyi Guo ◽

Xin Zhang

Keyword(s):

Dynamic Programming ◽

Control System ◽

Maximum Principle ◽

Stochastic Control ◽

Regime Switching ◽

Markov Regime Switching ◽

Stochastic Control System

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Maximum principle for forward–backward stochastic control system under G-expectation and relation to dynamic programming

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2015.10.034 ◽

2016 ◽

Vol 296 ◽

pp. 753-775 ◽

Author(s):

Zhongyang Sun

Keyword(s):

Dynamic Programming ◽

Control System ◽

Maximum Principle ◽

Stochastic Control ◽

Stochastic Control System

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The Maximum Principle of Forward Backward Transformation Stochastic Control System

Pure and Applied Mathematics Journal ◽

10.11648/j.pamj.20150403.18 ◽

2015 ◽

Vol 4 (3) ◽

pp. 109

Author(s):

Li Zhou

Keyword(s):

Control System ◽

Maximum Principle ◽

Stochastic Control ◽

The Maximum Principle ◽

Stochastic Control System

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Stochastic maximum principle for mean-field forward-backward stochastic control system with terminal state constraints

Science China Mathematics ◽

10.1007/s11425-015-5068-3 ◽

2015 ◽

Vol 59 (4) ◽

pp. 809-822 ◽

Author(s):

QingMeng Wei

Keyword(s):

Control System ◽

Maximum Principle ◽

Stochastic Control ◽

State Constraints ◽

Terminal State ◽

Stochastic Maximum Principle ◽

Stochastic Control System

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A maximum principle for mean-field stochastic control system with noisy observation

10.1016/j.automatica.2021.110135 ◽

2022 ◽

Vol 137 ◽

pp. 110135

Author(s):

Guangchen Wang ◽

Zhen Wu

Keyword(s):

Control System ◽

Maximum Principle ◽

Stochastic Control ◽

Stochastic Control System ◽

Noisy Observation

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

Journal of Systems Science and Complexity ◽

10.1007/s11424-017-6209-2 ◽

2017 ◽

Vol 31 (4) ◽

pp. 859-874 ◽

Author(s):

Hong Huang ◽

Xiangrong Wang ◽

Meijuan Liu

Keyword(s):

Control System ◽

Maximum Principle ◽

Stochastic Control ◽

Lévy Process ◽

State Constraints ◽

Terminal State ◽

Levy Process ◽

Stochastic Control System ◽

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ARIMAX Type Time Series Models in Stochastic Control System and Macroeconometric Models

Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications ◽

10.5687/sss.1994.15 ◽

1994 ◽

Vol 1994 (0) ◽

pp. 15-22

Author(s):

Hajime Myoken ◽

Shin-ichi Kamiyama ◽

Yukio Uchida ◽

Kanji Kojima

Keyword(s):

Time Series ◽

Control System ◽

Stochastic Control ◽

Time Series Models ◽

Stochastic Control System

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Control of sensors of a Gaussian stochastic control system

2015 54th IEEE Conference on Decision and Control (CDC) ◽

10.1109/cdc.2015.7403249 ◽

2015 ◽

Author(s):

Rene K. Boel ◽

Jan H. van Schuppen

Keyword(s):

Control System ◽

Stochastic Control ◽

Stochastic Control System

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S-Controllability of a partially observed semilinear integrodifferential stochastic control system

International Journal of Dynamics and Control ◽

10.1007/s40435-016-0279-1 ◽

2016 ◽

Vol 6 (1) ◽

pp. 406-412 ◽

Author(s):

Mohit Kumar ◽

Sandeep Kumar

Keyword(s):

Control System ◽

Stochastic Control ◽

Stochastic Control System ◽

Partially Observed

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