A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints

DOI10.1016/J.JMAA.2013.05.013MaRDI QIDQ2257654zbMATH OpenOpenAlexFDO

Authors Shaolin Ji, Qingmeng Wei

Publication date 26 February 2015

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2013.05.013

zbMATH Keywords

Ekeland's variational principlefully coupled FBSDEsmaximum principlestate constraints

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cited in

(33)

• A maximum principle for fully coupled forward-backward stochastic control system driven by Lévy process with terminal state constraints
• Maximum principle of optimal stochastic control with terminal state constraint and its application in finance
• General linear forward and backward stochastic difference equations with applications
• The optimal control problem with state constraints for fully coupled forward-backward stochastic systems with jumps
• Stochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equation
• The optimal portfolio selection model under \(g\)-expectation
• An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints
• A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints
• Maximum principle for forward-backward control system driven by Itô-Lévy processes under initial-terminal constraints
• Optimal control of SDEs with expected path constraints and related constrained FBSDEs
• The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations
• The optimal control of fully-coupled forward-backward doubly stochastic systems driven by Itô-Lévy processes
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• A maximum principle for stochastic optimal control with terminal state constraints, and its applications
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