The Filtering Equations of Forward-Backward Stochastic Systems with Random Jumps and Applications to Partial Information Stochastic Optimal Control

2010 ◽  
Vol 28 (6) ◽  
pp. 1003-1019 ◽  
Author(s):  
Hua Xiao ◽  
Guangchen Wang
Keyword(s):  
Optimal Control ◽  
Stochastic Optimal Control ◽  
Stochastic Systems ◽  
Partial Information ◽  
Random Jumps

scholarly journals Necessary Conditions for Optimal Control of Forward-Backward Stochastic Systems with Random Jumps

2012 ◽  
Vol 2012 ◽  
pp. 1-50 ◽  
Author(s):  
Jingtao Shi
Keyword(s):  
Optimal Control ◽  
Optimal Control Problem ◽  
Control Problem ◽  
Stochastic Systems ◽  
Necessary Conditions ◽  
Control Variable ◽  
Optimal Controls ◽  
Linear Quadratic ◽  
Forward Equation ◽  
Random Jumps

This paper deals with the general optimal control problem for fully coupled forward-backward stochastic differential equations with random jumps (FBSDEJs). The control domain is not assumed to be convex, and the control variable appears in both diffusion and jump coefficients of the forward equation. Necessary conditions of Pontraygin's type for the optimal controls are derived by means of spike variation technique and Ekeland variational principle. A linear quadratic stochastic optimal control problem is discussed as an illustrating example.

scholarly journals Synthesis of Stochastic Systems with Partial Information via Control Barrier Functions

2020 ◽  
Vol 53 (2) ◽  
pp. 2441-2446
Author(s):  
Niloofar Jahanshahi ◽  
Pushpak Jagtap ◽  
Majid Zamani
Keyword(s):  
Stochastic Systems ◽  
Partial Information ◽  
Barrier Functions
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