Optimal control problem of fully coupled forward-backward stochastic systems with Poisson jumps under partial information

摘要

In this paper, we study a class of stochastic optimal control problem withjumps under partial information. More precisely, the controlled systems aredescribed by a fully coupled nonlinear multi- dimensional forward-backwardstochastic differential equation driven by a Poisson random measure and anindependent multi-dimensional Brownian motion, and all admissible controlprocesses are required to be adapted to a given subfiltration of the filtrationgenerated by the underlying Poisson random measure and Brownian motion. Forthis type of partial information stochastic optimal control problem, we give anecessary and sufficient maximum principle. All the coefficients appearing inthe systems are allowed to depend on the control variables and the controldomain is convex.