Advanced search

Browse by subject

Browse by provider

Browse by language

Content Details
Normal View
CIP View

Optimal control of coupled forward-backw...

Lin, Qian...

Free

Share this content

Optimal control of coupled forward-backward stochastic system with jumps and related Hamilton-Jacobi-Bellman equations by Lin, Qian ( Author )

Content Provider	Lemonjar Open Access
Publisher	Australian National University
Publication Date	11-08-2023
Summary	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 motion and Poisson random measure. For this end, we first study the regularity of solutions for this kind of forward-backward stochastic differential equations. We obtain that the value function is a deterministic function and satisfies the dynamic programming principle for this kind of optimal control problem. Moreover, we prove that the value functions is a viscosity solutions of the associated Hamilton-Jacobi-Bellman equations with integral-differential operators.
ISBN	-
Item Type	Article
File Type	pdf
File Size	30.00 KB
Language	English
Subjects	-
Unlimited	MYR 0.01
Total read	-
URL	http://arxiv.org/abs/1111.4642

Citation

Review the full bibliography data and make any necessary corrections before using. Always consult your library resources for the exact formatting and punctuation guidelines.

AMA 11th EditionReferences

Lin, Qian. Optimal control of coupled forward-backward stochastic system with jumps and related Hamilton-Jacobi-Bellman equations. Australian National University. August 11, 2023. Accessed September 17, 2024. https://online.provdatabase.com/cite/15760

APA 7th EditionReferences

Lin, Qian. (2023). Optimal control of coupled forward-backward stochastic system with jumps and related Hamilton-Jacobi-Bellman equations. Australian National University. https://online.provdatabase.com/cite/15760

Chicago 17th EditionReferences

Lin, Qian. Optimal control of coupled forward-backward stochastic system with jumps and related Hamilton-Jacobi-Bellman equations. Australian National University. 2023. https://online.provdatabase.com/cite/15760

HarvardReferences

Lin, Qian. (2023). Optimal control of coupled forward-backward stochastic system with jumps and related Hamilton-Jacobi-Bellman equations. [Online]. Australian National University. Available from: https://online.provdatabase.com/cite/15760. (Accessed 17 September 2024).

Harvard AustraliaReferences

Lin, Qian, 2023, Optimal control of coupled forward-backward stochastic system with jumps and related Hamilton-Jacobi-Bellman equations, Australian National University, viewed 17 September 2024, <https://online.provdatabase.com/cite/15760>

MLA 9th EditionWorks Cited

Lin, Qian. Optimal control of coupled forward-backward stochastic system with jumps and related Hamilton-Jacobi-Bellman equations. Australian National University, 2023. PROV Database, https://online.provdatabase.com/cite/15760.

Share this eBook