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arXiv · 1211.1740

An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints

Qingmeng Wei·Xinling Xiao
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Abstract

This paper is devoted to the stochastic optimal control problems for systems governed by forward-backward stochastic Volterra integral equations (FBSVIEs, for short) with state constraints. Using Ekeland's variational principle, we obtain one kind of variational inequality. Then, by dual method, we derive a stochastic maximum principle which gives the necessary conditions for the optimal controls.

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Qingmeng Wei, Xinling Xiao. 2013-12-02. An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints. https://arxiv.org/abs/1211.1740

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