Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lvy processes

作     者：LI Na WU Zhen 

作者机构：School of MathematicsShandong University Mathematics DepartmentQiLu Normal Institute 

出 版 物：《Applied Mathematics(A Journal of Chinese Universities)》 (高校应用数学学报（英文版）（B辑）)

年 卷 期：2014年第29卷第1期

页      面：67-85页

核心收录：

学科分类：0711[理学-系统科学] 07[理学] 08[工学] 070105[理学-运筹学与控制论] 0835[工学-软件工程] 0802[工学-机械工程] 081101[工学-控制理论与控制工程] 071101[理学-系统理论] 0811[工学-控制科学与工程] 0701[理学-数学] 080201[工学-机械制造及其自动化] 

基　　金：Supported by the National Natural Science Foundation(11221061 and 61174092) 111 project(B12023),the National Science Fund for Distinguished Young Scholars of China(11125102) Youth Foundation of QiLu Normal Institute(2012L1010) 

主　　题：maximum principle stochastic optimal control L′evy processes stochastic differential equation with delay anticipated backward differential equation 

摘      要：In this paper, we study the stochastic maximum principle for optimal control prob- lem of anticipated forward-backward system with delay and Lovy processes as the random dis- turbance. This control system can be described by the anticipated forward-backward stochastic differential equations with delay and L^vy processes （AFBSDEDLs）, we first obtain the existence and uniqueness theorem of adapted solutions for AFBSDEDLs; combining the AFBSDEDLs＇ preliminary result with certain classical convex variational techniques, the corresponding maxi- mum principle is proved.