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

Qingxin Meng; Yongzheng Sun

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

Qingxin Meng^*, Yongzheng Sun

^*Corresponding author for this work

Department of Applied Finance

Research output: Chapter in Book/Report/Conference proceeding › Conference proceeding contribution › peer-review

6 Citations (Scopus)

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.

Original language	English
Title of host publication	Proceedings of the 30th Chinese Control Conference, CCC 2011
Place of Publication	Piscataway, NJ
Publisher	Institute of Electrical and Electronics Engineers (IEEE)
Pages	1317-1322
Number of pages	6
ISBN (Electronic)	9789881725592
ISBN (Print)	9781457706776
Publication status	Published - 2011
Event	30th Chinese Control Conference, CCC 2011 - Yantai, China Duration: 22 Jul 2011 → 24 Jul 2011

Other

Other	30th Chinese Control Conference, CCC 2011
Country/Territory	China
City	Yantai
Period	22/07/11 → 24/07/11

Keywords

Backward stochastic differential equation
Maximum principle
Partial information
Poisson process
Stochastic optimal control

Cite this

@inproceedings{55fe2bec41eb472788e43800c50ee7bd,

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

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.",

keywords = "Backward stochastic differential equation, Maximum principle, Partial information, Poisson process, Stochastic optimal control",

author = "Qingxin Meng and Yongzheng Sun",

year = "2011",

language = "English",

isbn = "9781457706776",

pages = "1317--1322",

booktitle = "Proceedings of the 30th Chinese Control Conference, CCC 2011",

publisher = "Institute of Electrical and Electronics Engineers (IEEE)",

address = "United States",

note = "30th Chinese Control Conference, CCC 2011 ; Conference date: 22-07-2011 Through 24-07-2011",

}

Meng, Q & Sun, Y 2011, Optimal control problem of fully coupled forward-backward stochastic systems with Poisson jumps under partial information. in Proceedings of the 30th Chinese Control Conference, CCC 2011., 6000579, Institute of Electrical and Electronics Engineers (IEEE), Piscataway, NJ, pp. 1317-1322, 30th Chinese Control Conference, CCC 2011, Yantai, China, 22/07/11.

Optimal control problem of fully coupled forward-backward stochastic systems with Poisson jumps under partial information. / Meng, Qingxin; Sun, Yongzheng.
Proceedings of the 30th Chinese Control Conference, CCC 2011. Piscataway, NJ: Institute of Electrical and Electronics Engineers (IEEE), 2011. p. 1317-1322 6000579.

Research output: Chapter in Book/Report/Conference proceeding › Conference proceeding contribution › peer-review

TY - GEN

T1 - Optimal control problem of fully coupled forward-backward stochastic systems with Poisson jumps under partial information

AU - Meng, Qingxin

AU - Sun, Yongzheng

PY - 2011

Y1 - 2011

N2 - 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.

AB - 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.

KW - Backward stochastic differential equation

KW - Maximum principle

KW - Partial information

KW - Poisson process

KW - Stochastic optimal control

UR - https://www.scopus.com/pages/publications/80053068276

M3 - Conference proceeding contribution

AN - SCOPUS:80053068276

SN - 9781457706776

SP - 1317

EP - 1322

BT - Proceedings of the 30th Chinese Control Conference, CCC 2011

PB - Institute of Electrical and Electronics Engineers (IEEE)

CY - Piscataway, NJ

T2 - 30th Chinese Control Conference, CCC 2011

Y2 - 22 July 2011 through 24 July 2011

ER -

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

Abstract

Other

Keywords

Other files and links

Fingerprint

Cite this