Optimal control problems of forward-backward stochastic Volterra integral equations

DOI10.3934/mcrf.2015.5.613zbMath1337.49044arXiv1404.7577OpenAlexW2519225972MaRDI QIDQ2356564

Tian Xiao Wang, Jiong-min Yong, Yu-feng Shi

Publication date: 30 July 2015

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.7577

zbMATH Keywords

optimal controlstochastic maximum principleduality principlestochastic Fredholm-Volterra integral equationsadapted M-solutionforward-backward stochastic Volterra integral equations

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Stochastic integral equations (60H20) Optimality conditions for problems involving relations other than differential equations (49K21)

Related Items (21)

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