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

Shaolin Ji; Qingmeng Wei; Xiumin Zhang

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arXiv · 1005.3085

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

Shaolin Ji·Qingmeng Wei·Xiumin Zhang

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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.

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BibTeX RIS

Shaolin Ji, Qingmeng Wei, Xiumin Zhang. 2010-05-18. A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal sate constraints. https://arxiv.org/abs/1005.3085

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