A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints (Q1938232)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints |
scientific article |
Statements
A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints (English)
0 references
4 February 2013
0 references
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.
0 references
doubly stochastic differential equation
0 references
initial-terminal state constraints
0 references
maximum principle
0 references
terminal perturbation method
0 references
Ekeland's variation principle
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8923448920249939
0 references
0.8591192960739136
0 references
0.8552128672599792
0 references
0.8535203337669373
0 references
