A Necessary Condition for Optimal Control of Forward-Backward Stochastic Control System with Lévy Process in Nonconvex Control Domain Case
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DOI: 10.1155/2020/1768507
Abstract: This paper analyzes one kind of optimal control problem which is described by forward-backward stochastic differential equations with Levy process (FBSDEL). We derive a necessary condition for the existence of the optimal control by means… read more here.
Keywords: control; control domain; backward stochastic; forward backward ... See more keywords