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

DOI10.1016/j.jmaa.2013.05.013zbMath1306.49041MaRDI QIDQ2257654

Qingmeng Wei, Shaolin Ji

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

maximum principle; state constraints; Ekeland's variational principle; fully coupled FBSDEs

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness

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