A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints (Q1938232): Difference between revisions

Summary: We study the optimal control problem of a controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints. Applying the terminal perturbation method and Ekeland's variation principle, a necessary condition of the stochastic optimal control, that is, a stochastic maximum principle, is derived. Applications to backward doubly stochastic linear-quadratic control models are investigated.