A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints (Q1938232)
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| Language | Label | Description | Also known as |
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| English | A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints |
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A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints (English)
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4 February 2013
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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.
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doubly stochastic differential equation
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initial-terminal state constraints
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maximum principle
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terminal perturbation method
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Ekeland's variation principle
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