Stochastic maximum principle for mean-field forward-backward stochastic control system with terminal state constraints

DOI10.1007/S11425-015-5068-3MaRDI QIDQ294516zbMATH OpenOpenAlexFDO

Authors Qingmeng Wei

Publication date 16 June 2016

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-015-5068-3

zbMATH Keywords

maximum principlestate constraintsmean-field forward-backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cited in

(10)

• Optimal control of SDEs with expected path constraints and related constrained FBSDEs
• Maximum principle for the optimal control problem of a fully coupled stochastic system with state constraints
• Stochastic maximum principle for recursive optimal control problems with varying terminal time
• An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints
• A maximum principle for stochastic optimal control with terminal state constraints, and its applications
• scientific article; zbMATH DE number 7338520 (Why is no real title available?)
• A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators
• A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints
• Maximum principle for a stochastic delayed system involving terminal state constraints
• The maximum principle for fully coupled forward-backward stochastic control system with state constraints

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