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

DOI10.1155/2012/537376zbMATH Open1256.49007OpenAlexW2054693519WikidataQ58695459 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)

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

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)

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.

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Cited in

(8)

• Time-symmetric optimal stochastic control problems in space-time domains
• Stochastic maximum principle for recursive optimal control problems with varying terminal time
• Necessary condition for optimal control of doubly stochastic systems
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