| A Maximum Principle for Fully Coupled Forward-Backward Stochastic Control System Driven by Lvy Process with Terminal State Constraints |
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| 摘 要： | This paper is concerned with a fully coupled forward-backward stochastic optimal control problem where the controlled system is driven by L′evy process, while the forward state is constrained in a convex set at the terminal time. The authors use an equivalent backward formulation to deal with the terminal state constraint, and then obtain a stochastic maximum principle by Ekeland's variational principle. Finally, the result is applied to the utility optimization problem in a financial market.
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A Maximum Principle for Fully Coupled Forward-Backward Stochastic Control System Driven by Lévy Process with Terminal State Constraints |
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| Authors: | Hong Huang Xiangrong Wang Meijuan Liu |
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| Institution: | 1.Institute of Financial Engineering,Shandong University of Science and Technology,Qingdao,China;2.Institute of Financial Engineering,Shandong Women’s University,Jinan,China |
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| Abstract: | This paper is concerned with a fully coupled forward-backward stochastic optimal control problem where the controlled system is driven by Lévy process, while the forward state is constrained in a convex set at the terminal time. The authors use an equivalent backward formulation to deal with the terminal state constraint, and then obtain a stochastic maximum principle by Ekeland’s variational principle. Finally, the result is applied to the utility optimization problem in a financial market. |
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