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arXiv · 0911.3225

Optimal control problem of fully coupled forward-backward stochastic systems with Poisson jumps under partial information

Qingxin Meng
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Abstract

In this paper, we study a class of stochastic optimal control problem with jumps under partial information. More precisely, the controlled systems are described by a fully coupled nonlinear multi- dimensional forward-backward stochastic differential equation driven by a Poisson random measure and an independent multi-dimensional Brownian motion, and all admissible control processes are required to be adapted to a given subfiltration of the filtration generated by the underlying Poisson random measure and Brownian motion. For this type of partial information stochastic optimal control problem, we give a necessary and sufficient maximum principle. All the coefficients appearing in the systems are allowed to depend on the control variables and the control domain is convex.

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Qingxin Meng. 2009-11-17. Optimal control problem of fully coupled forward-backward stochastic systems with Poisson jumps under partial information. https://arxiv.org/abs/0911.3225

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