A general maximum principle for progressive optimal control of fully coupled forward-backward stochastic systems with jumps
Abstract
This paper is concerned with a general maximum principle for the fully coupled forward-backward stochastic optimal control problem with jumps, where the control domain is not necessarily convex, within the progressively measurable framework. A distinct feature in this paper is that the solution Z of BSDEPs could include the variable ‘e’, further, the diffusion term of BSDEPs takes the form ∫EZ(t,e)ν (de) dWt rather than the conventional Zt dWt, reflecting the essential coupling between the solution component Z and the Polish space E. The theoretical results are applied to an autonomous driving problem for an electric vehicle navigating in a stochastic environment with both continuous disturbances and sudden jump events.
Fields of Study & Subjects
Aerospace Engineering and Control Systems
Publication details
- Journal / source
- International Journal of Control
- Publisher
- Informa UK Limited
- Volume
- 99
- Issue
- 10
- Pages
- 1–23
- Publication date
- 12 August 2026
- Language
- EN