Title :
Optimal control of BSDEs with time delayed generators driven by brownian motions and poisson random measures
Author_Institution :
Sch. of Math., Shandong Univ., Jinan, China
Abstract :
In this paper, we study an optimal control problem where the state dynamics follows a BSDE with time delayed generator driven by Brownian motion and Poisson random measure. A sufficient maximum principle is proved, by introducing a new class of time-advanced SDE with jumps as the adjoint equation. A dynamic optimization problem of linear backward stochastic system with time-delayed generator is discussed as the application of our main result.
Keywords :
Brownian motion; delays; dynamic programming; maximum principle; stochastic processes; stochastic systems; BSDE; Brownian motions; Poisson random measures; backward stochastic differential equations; dynamic optimization problem; linear backward stochastic system; optimal control problem; state dynamics; sufficient maximum principle; time delayed generators; time-advanced SDE; Dynamics; Equations; Generators; Mathematical model; Optimal control; Optimization; Process control; Backward stochastic differential equation; Poisson random measure; Stochastic optimal control; maximum principle; time-advanced stochastic differential equation with jumps; time-delayed generator;
Conference_Titel :
Control Conference (CCC), 2013 32nd Chinese
Conference_Location :
Xi´an
