A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal sate constraints
Optimization and Control
2012-11-20 v2
Abstract
In this paper, we study the optimal control problem of a controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal sate constraints. Applying the terminal perturbation method and Ekeland's variation principle, a necessary condition of the stochastic optimal control, i.e., stochastic maximum principle is derived. Applications to backward doubly stochastic linear-quadratic control models are investigated.
Keywords
Cite
@article{arxiv.1005.3085,
title = {A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal sate constraints},
author = {Shaolin Ji and Qingmeng Wei and Xiumin Zhang},
journal= {arXiv preprint arXiv:1005.3085},
year = {2012}
}
Comments
22 pages