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Maximum principles for forward-backward doubly stochastic differential equations with jumps
Xu Shuli 1 *,Jiang jun 2 #
1.Hubei Province Key Laboratory of Systems Science in Metallurgical Process, Wuhan University of Science and Technology, WuHan 430081
2.Hubei Province Key Laboratory of Systems Science in Metallurgical Process, Wuhan University of Science and Technology, Wuhan 430081
*Correspondence author
#Submitted by
Subject:
Funding: Hubei Province Key Laboratory of Systems Science in Metallurgical Process (Wuhan University of Science and Technology）（No.No. Y201105）
Opened online: 6 September 2012
Accepted by: none
Citation: Xu Shuli,Jiang jun.Maximum principles for forward-backward doubly stochastic differential equations with jumps[OL]. [ 6 September 2012] http://en.paper.edu.cn/en_releasepaper/content/4486654
 
 
The forward-backward stochastic differential equations has received considerable research attention in a large of domains, especially in mathematical finance. The subject of stochastic maximum principles for forward-backward stochastic optimal control problems has been discussed by many authors, this paper researchs a stochastic system consisting of a forward-backward doubly stochastic differential equations with jump and obtains a genereal sufficient maximum principle for forward-backward doubly stochastic differential equations with jump.
Keywords:Maximum principle; Forward-backward stochastic differential equations; Jump; Stockastic optimal control; Adjoint equation
 
 
 

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