Stochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equation (Q1723930): Difference between revisions

Summary: This paper first makes an attempt to investigate the near-optimal control of systems governed by fully nonlinear coupled forward-backward stochastic differential equations (FBSDEs) under the assumption of a convex control domain. By Ekeland's variational principle and some basic estimates for state processes and adjoint processes, we establish the necessary conditions for any \(\varepsilon\)-near optimal control in a local form with an error order of exact \(\varepsilon^{1 / 2}\). Moreover, under additional convexity conditions on Hamiltonian function, we prove that an \(\varepsilon\)-maximum condition in terms of the Hamiltonian in the integral form is sufficient for near-optimality of order \(\varepsilon^{1 / 2}\).