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

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.
 

Published June 12, 2015 1:22 PM - Last modified June 12, 2015 1:22 PM