Optimal Controls of Stochastic Differential Equations with Jumps and Random Coefficients: Stochastic Hamilton–Jacobi–Bellman Equations with Jumps

Meng, Qingxin; Dong, Yuchao; Shen, Yang; Tang, Shanjian

doi:10.1007/s00245-022-09914-8

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Cited by 4 publications

References 31 publications

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Stackelberg Game Approach to Mixed Stochastic $$H_{2}/H_{\infty }$$ Control for Mean-Field Jump-Diffusions Systems

Zhang,

Meng

2023

Appl Math Optim

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Stackelberg Game Approach to Mixed Stochastic $$H_{2}/H_{\infty }$$ Control for Mean-Field Jump-Diffusions Systems

Zhang,

Meng

2023

Appl Math Optim

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The relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients

Dong,

Meng,

Zhang

2024

ESAIM: COCV

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This paper aims to explore the relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients. Under certain regular conditions for the coefficients, the relationship between the Hamiltonian system with random coefficients and stochastic Hamilton-Jacobi-Bellman equation is obtained. It is very different from the deterministic coefficients case since stochastic Hamilton-Jacobi-Bellman equation is a backward stochastic partial differential equation with solution being a pair of random fields rather than a deterministic function. A linear quadratic recursive optimization problem is given as an explicitly illustrated example based on this kind of relationship.

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Optimal investment and retirement strategies for defined-contribution pension with jump diffusion risk process

Luan,

Gao

2023

2023 Asia Conference on Advanced Robotics, Automation, and Control Engineering (ARACE)

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Optimal Controls of Stochastic Differential Equations with Jumps and Random Coefficients: Stochastic Hamilton–Jacobi–Bellman Equations with Jumps

Cited by 4 publications

References 31 publications

Stackelberg Game Approach to Mixed Stochastic $$H_{2}/H_{\infty }$$ Control for Mean-Field Jump-Diffusions Systems

Stackelberg Game Approach to Mixed Stochastic $$H_{2}/H_{\infty }$$ Control for Mean-Field Jump-Diffusions Systems

The relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients

Optimal investment and retirement strategies for defined-contribution pension with jump diffusion risk process

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