In this paper, we investigate the stochastic optimal control problem of coupled forward–backward stochastic system under G–Lévy processes. We obtain that the value function is deterministic function and is a viscosity solution of a fully nonlinear second–order partial differential equation. A particular case of this equation is the well–known Hamilton–Jacobi–Bellman equation.
An Ta Thi Kieu: Stochastic optimal control of forward–backward stochastic system under G–Lévy process
An Ta Thi Kieu, InnoStoch/CMA, holder et seminar med tittelen: Stochastic optimal control of forward–backward stochastic system under G–Lévy process
Published June 12, 2015 1:22 PM
- Last modified June 12, 2015 1:22 PM