Optimal Control Problems of Forward-Backward Stochastic Volterra Integral Equations with Closed Control Regions

DOI10.1137/16M1059801zbMath1368.93791arXiv1602.05661OpenAlexW2964267057MaRDI QIDQ5348481

HaiSen Zhang, Tian Xiao Wang

Publication date: 18 August 2017

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.05661

zbMATH Keywords

duality principlefirst order necessary optimality conditionsforward-backward stochastic Volterra integral equationslinear stochastic integral equations with nonadapted solutionsset-value analysis

Mathematics Subject Classification ID

Set-valued and variational analysis (49J53) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Stochastic integral equations (60H20)

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