摘要
This paper is concerned with a fully coupled forward-backward stochastic optimal control problem where the controlled system is driven by Levy process, while the forward state is constrained in a convex set at the terminal time. The authors use an equivalent backward formulation to deal with the terminal state constraint, and then obtain a stochastic maximum principle by Ekeland＇s variational principle. Finally, the result is applied to the utility optimization problem in a financial market.
基金
supported by the National Science Fundation of China under Grant No.11271007
the National Social Science Fund Project of China under Grant No.17BGL058
Humanity and Social Science Research Foundation of Ministry of Education of China under Grant No.15YJA790051
