Stochastic Recursive Linear Quadratic Optimal Control Problem With Lévy Processes

This paper is concerned with stochastic recursive linear quadratic optimal con-trol problem driven by Levy processes. We introduced stochastic recursive control in the stochastic control system driven by Levy processes and obtained the corre-sponding maximum condition in this problem. Moreover we represented the Riccati equation and the form of optimal feedback in the linear case. Finally, we studied this problem with partial information.