Linear‐Quadratic Optimal Control Problems for Mean‐Field Stochastic Differential Equations with Jumps
نویسندگان
چکیده
منابع مشابه
Stochastic Differential Equations with Jumps
Gradient estimates and a Harnack inequality are established for the semigroup associated to stochastic differential equations driven by Poisson processes. As applications, estimates of the transition probability density, the compactness and ultraboundedness of the semigroup are studied in terms of the corresponding invariant measure.
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We prove an existence and uniqueness result for a general class of backward stochastic partial differential equations with jumps. This is a type of equations which appear as adjoint equations in the maximum principle approach to optimal control of systems described by stochastic partial differential equations driven by Lévy processes.
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ژورنال
عنوان ژورنال: Asian Journal of Control
سال: 2018
ISSN: 1561-8625,1934-6093
DOI: 10.1002/asjc.1762