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

maximum principlestate constraintsEkeland's variational principlefully coupled FBSDEs

Mathematics Subject Classification ID

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

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Cited in

(29)

• The optimal control problem with state constraints for forward-backward stochastic systems with jumps
• An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints
• The optimal portfolio selection model under \(g\)-expectation
• A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints
• A global stochastic maximum principle for fully coupled forward-backward stochastic systems
• A Stochastic Maximum Principle for Forward-backward Stochastic Control Systems with Quadratic Generators and Sample-wise Constraints
• Maximum principle for forward-backward doubly stochastic control systems and applications
• The maximum principle for optimal control of mean-field FBSDE driving by Teugels martingales with terminal state constraints
• Maximum principle for the optimal control problem of a fully coupled stochastic system with state constraints
• Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems
• Stochastic maximum principle for mean-field forward-backward stochastic control system with terminal state constraints
• Maximum principle of optimal stochastic control with terminal state constraint and its application in finance
• A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach
• General linear forward and backward stochastic difference equations with applications
• Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations
• The maximum principle for fully coupled forward-backward stochastic control system with state constraints
• Stochastic maximum principle for recursive optimal control problems with varying terminal time
• Maximum principle for stochastic optimal control problem of finite state forward‐backward stochastic difference systems
• A maximum principle for fully coupled stochastic control systems of mean-field type
• Maximum principle for stochastic optimal control problem of forward-backward stochastic difference systems
• A maximum principle for fully coupled forward-backward stochastic control system driven by Lévy process with terminal state constraints
• Maximum principle for forward-backward control system driven by Itô-Lévy processes under initial-terminal constraints
• The optimal control of fully-coupled forward-backward doubly stochastic systems driven by Itô-Lévy processes
• A maximum principle for stochastic optimal control with terminal state constraints, and its applications
• Stochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equation
• The optimal control problem with state constraints for fully coupled forward-backward stochastic systems with jumps
• The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations
• Optimal control of SDEs with expected path constraints and related constrained FBSDEs
• Maximum principle for a stochastic delayed system involving terminal state constraints

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