An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints (Q1724115)
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English | An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints |
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An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints (English)
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14 February 2019
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Summary: 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 inequalities. Then, by dual method, we derive a stochastic maximum principle which gives the necessary conditions for the optimal controls.
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stochastic optimal control
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forward-backward stochastic Volterra integral equations
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stochastic maximum principle
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