%0 Conference Proceedings
%T Stochastic Maximum Principle for Hilbert Space Valued Forward-Backward Doubly SDEs with Poisson Jumps
%+ Qassim University [Kingdom of Saudi Arabia]
%+ University of Biskra Mohamed Khider
%A Al-Hussein, Abdulrahman
%A Gherbal, Boulakhras
%< avec comité de lecture
%( IFIP Advances in Information and Communication Technology
%B 26th Conference on System Modeling and Optimization (CSMO)
%C Klagenfurt, Austria
%Y Christian Pötzsche
%Y Clemens Heuberger
%Y Barbara Kaltenbacher
%Y Franz Rendl
%I Springer Berlin Heidelberg
%3 System Modeling and Optimization
%V AICT-443
%P 1-10
%8 2013-09-09
%D 2013
%R 10.1007/978-3-662-45504-3_1
%K Wiener process
%K Poisson process
%K Forward-backward doubly stochastic differential equation
%K Maximum principle
%Z Computer Science [cs]Conference papers
%X In this paper we study the stochastic maximum principle for a control problem in infinite dimensions. This problem is governed by a fully coupled forward-backward doubly stochastic differential equation (FBDSDE) driven by two cylindrical Wiener processes on separable Hilbert spaces and a Poisson random measure. We allow the control variable to enter in all coefficients appearing in this system.Existence and uniqueness of the solutions of FBDSDEs and an extended martingale representation theorem are provided as well.
%G English
%Z TC 7
%2 https://inria.hal.science/hal-01286214/document
%2 https://inria.hal.science/hal-01286214/file/978-3-662-45504-3_1_Chapter.pdf
%L hal-01286214
%U https://inria.hal.science/hal-01286214
%~ IFIP
%~ IFIP-AICT
%~ IFIP-TC
%~ IFIP-AICT-443
%~ IFIP-TC7