Title :
Maximum Principle for Fully Coupled Forward-backward Stochastic Control System with Random Jumps
Author :
Shi Jingtao ; Wu Zhen
Author_Institution :
Shandong Univ., Jinan
Abstract :
A maximum principle for one kind of fully coupled forward-backward stochastic control system with random jumps is proved. The control variable is allowed to enter both diffusion and jump coefficients with the control domain is convex.
Keywords :
random processes; stochastic systems; diffusion coefficients; fully coupled forward-backward stochastic control system; jump coefficients; maximum principle; random jumps; Control systems; Differential equations; Filtration; Mathematics; Measurement standards; Motion control; Optimal control; Stochastic processes; Stochastic resonance; Stochastic systems; Backward stochastic differential equations; Fully coupled forward-backward control systems; Maximum principle; Poisson process; Stochastic optimal control;
Conference_Titel :
Control Conference, 2007. CCC 2007. Chinese
Conference_Location :
Hunan
Print_ISBN :
978-7-81124-055-9
DOI :
10.1109/CHICC.2006.4346896
