Photo from wikipedia
In this paper, we consider the infinite horizon nonlinear optimal control of forward–backward stochastic system governed by Teugels martingales associated with Levy processes and one dimensional independent Brownian motion. Our… Click to show full abstract
In this paper, we consider the infinite horizon nonlinear optimal control of forward–backward stochastic system governed by Teugels martingales associated with Levy processes and one dimensional independent Brownian motion. Our aim is to establish the sufficient and necessary conditions for optimality of the above stochastic system under the convexity assumptions. Finally an application is given to illustrate the problem of optimal control of stochastic system.
Keywords:
control forward;
system;
stochastic system;
infinite horizon;
optimal control
Journal Title: Stochastics and Dynamics
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!
Journal Title: Stochastics and Dynamics
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!