A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators

DOI10.1137/20M137238XMaRDI QIDQ5081645zbMATH OpenOpenAlexWikidataFDO

Authors Shaolin Ji, Rundong Xu, Mingshang Hu

Publication date 17 June 2022

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2010.10680

zbMATH Keywords

maximum principleBMO-martingalequadratic BSDEsforward-backward stochastic control systemslinear BSDEs with unbounded coefficients

Mathematics Subject Classification ID

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

Abstract: We study a stochastic optimal control problem for forward-backward control systems with quadratic generators. In order to establish the first and second-order variational and adjoint equations, we obtain a new estimate for one-dimensional linear BSDEs with unbounded stochastic Lipschitz coefficients involving bounded mean oscillation martingales (BMO-martingales for short) and prove the solvability for a class of multi-dimensional BSDEs with this type. Finally, a new global stochastic maximum principle is deduced.

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Cited in

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• Second‐order necessary optimality conditions for discrete‐time stochastic systems
• 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

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