A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints

DOI10.1155/2012/537376zbMath1256.49007arXiv1005.3085OpenAlexW2054693519WikidataQ58695459 ScholiaQ58695459MaRDI QIDQ1938232

Xiumin Zhang, Qingmeng Wei, Shaolin Ji

Publication date: 4 February 2013

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.3085

zbMATH Keywords

maximum principleterminal perturbation methoddoubly stochastic differential equationEkeland's variation principleinitial-terminal state constraints

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Existence theories for optimal control problems involving partial differential equations (49J20)

Related Items (5)

Stochastic maximum principle for recursive optimal control problems with varying terminal time ⋮ Necessary condition for optimal control of doubly stochastic systems ⋮ The optimal control problem with state constraints for fully coupled forward-backward stochastic systems with jumps ⋮ The optimal portfolio selection model under \(g\)-expectation ⋮ An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints

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