Optimal Control Problems of Forward-Backward Stochastic Volterra Integral Equations
Optimization and Control
2014-05-01 v1
Abstract
Optimal control problems of forward-backward stochastic Volterra integral equations (FBSVIEs in short) are formulated and studied. A general duality principle is established for linear backward stochastic integral equation and linear stochastic Fredholm-Volterra integral equation with mean-field. With the help of such a duality principle, together with some other new delicate and subtle skills, Pontryagin type maximum principles are proved for two optimal control problems of FBSVIEs.
Cite
@article{arxiv.1404.7577,
title = {Optimal Control Problems of Forward-Backward Stochastic Volterra Integral Equations},
author = {Yufeng Shi and Tianxiao Wang and Jiongmin Yong},
journal= {arXiv preprint arXiv:1404.7577},
year = {2014}
}