相关论文: Optimal controls of stochastic differential equati…

In this paper we investigate a kind of optimal control problem of coupled forward-backward stochastic system with jumps whose cost functional is defined through a coupled forward-backward stochastic differential equation with Brownian…

We study optimal stochastic control problems of general coupled systems of forward-backward stochastic differential equations with jumps. By means of the It\^o-Ventzell formula the system is transformed to a controlled backward stochastic…

In this paper we consider the maximum principle of optimal control for a stochastic control problem. This problem is governed by a system of fully coupled multi-dimensional forward-backward doubly stochastic differential equation with…

In this paper we study backward stochastic differential equations (BSDEs) driven by the compensated random measure associated to a given pure jump Markov process X on a general state space K. We apply these results to prove well-posedness…

IIn this paper, we study a partially observed progressive optimal control problem of forward-backward stochastic differential equations with random jumps, where the control domain is not necessarily convex, and the control variable enter…

This paper studies the stochastic optimal control of jump-diffusion processes and the associated fully nonlinear backward stochastic Hamilton--Jacobi--Bellman (BSHJB) equations. We establish the dynamic programming principle (DPP) via…

We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or, equivalently, by a marked point process. Under appropriate assumptions we prove well-posedness and continuous dependence of the solution…

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…

In this paper, we study a linear-quadratic optimal control problem for mean-field stochastic differential equations driven by a Poisson random martingale measure and a multidimensional Brownian motion. Firstly, the existence and uniqueness…

This paper is concerned with a linear quadratic (LQ, for short) optimal control problem for mean-field backward stochastic differential equations (MF-BSDE, for short) driven by a Poisson random martingale measure and a Brownian motion.…

In the present work we employ, for the first time, backward stochastic differential equations (BSDEs) to study the optimal control of semi-Markov processes on finite horizon, with general state and action spaces. More precisely, we prove…

In this paper we study a class of stochastic control problems in which the control of the jump size is essential. Such a model is a generalized version for various applied problems ranging from optimal reinsurance selections for general…

We study an optimal control problem on infinite horizon for a controlled stochastic differential equation driven by Brownian motion, with a discounted reward functional. The equation may have memory or delay effects in the coefficients,…

We study optimal stochastic control problem for non-Markovian stochastic differential equations (SDEs) where the drift, diffusion coefficients, and gain functionals are path-dependent, and importantly we do not make any ellipticity…

This paper considers optimal control of dynamical systems which are represented by nonlinear stochastic differential equations. It is well-known that the optimal control policy for this problem can be obtained as a function of a value…

The purpose of this paper is to study optimal control of conditional McKean-Vlasov (mean-field) stochastic differential equations with jumps (conditional McKean-Vlasov jump diffusions, for short). To this end, we first prove a stochastic…

In this paper we study the fully nonlinear stochastic Hamilton-Jacobi-Bellman (HJB) equation for the optimal stochastic control problem of stochastic differential equations with random coefficients. The notion of viscosity solution is…

This paper is concerned with an optimal control problem for a forward-backward stochastic differential equation (FBSDE, for short) with a recursive cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for…

In this paper, we introduce a model-based deep-learning approach to solve finite-horizon continuous-time stochastic control problems with jumps. We iteratively train two neural networks: one to represent the optimal policy and the other to…

In this paper, we study a stochastic recursive optimal control problem in which the system is governed by a functional forward-backward stochastic differential equation. Under standard assumptions, we establish the dynamic programming…