A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints

DOI10.1155/2012/537376zbMATH Open1256.49007arXiv1005.3085OpenAlexW2054693519WikidataQ58695459 ScholiaQ58695459MaRDI QIDQ1938232FDOQ1938232

Authors: Shaolin Ji, Qingmeng Wei, Xiumin Zhang 

Publication date: 4 February 2013

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Abstract: In this paper, we study the optimal control problem of a controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal sate constraints. Applying the terminal perturbation method and Ekeland's variation principle, a necessary condition of the stochastic optimal control, i.e., stochastic maximum principle is derived. Applications to backward doubly stochastic linear-quadratic control models are investigated.

Full work available at URL: https://arxiv.org/abs/1005.3085

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zbMATH Keywords

maximum principleterminal perturbation methoddoubly stochastic differential equationEkeland's variation principleinitial-terminal state constraints

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Existence theories for optimal control problems involving partial differential equations (49J20)

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Cited In (8)

• An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints
• The optimal portfolio selection model under \(g\)-expectation
• Time-symmetric optimal stochastic control problems in space-time domains
• Maximum principle for backward doubly stochastic control systems with applications
• Stochastic maximum principle for recursive optimal control problems with varying terminal time
• The pathwise-determined maximum principle and symmetric integrals
• Necessary condition for optimal control of doubly stochastic systems
• The optimal control problem with state constraints for fully coupled forward-backward stochastic systems with jumps

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