Optimal control problem of fully coupled forward-backward stochastic systems with Poisson jumps under partial information
Abstract
In this paper, we study a class of stochastic optimal control problem with jumps under partial information. More precisely, the controlled systems are described by a fully coupled nonlinear multi- dimensional forward-backward stochastic differential equation driven by a Poisson random measure and an independent multi-dimensional Brownian motion, and all admissible control processes are required to be adapted to a given subfiltration of the filtration generated by the underlying Poisson random measure and Brownian motion. For this type of partial information stochastic optimal control problem, we give a necessary and sufficient maximum principle. All the coefficients appearing in the systems are allowed to depend on the control variables and the control domain is convex.
Cite
@article{arxiv.0911.3225,
title = {Optimal control problem of fully coupled forward-backward stochastic systems with Poisson jumps under partial information},
author = {Qingxin Meng},
journal= {arXiv preprint arXiv:0911.3225},
year = {2009}
}
Comments
13pages