A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators
From MaRDI portal
Publication:5081645
DOI10.1137/20M137238XzbMATH Open1492.93200arXiv2010.10680OpenAlexW3094625557WikidataQ114074146 ScholiaQ114074146MaRDI QIDQ5081645FDOQ5081645
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)
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.
Full work available at URL: https://arxiv.org/abs/2010.10680
Recommendations
- A general maximum principle for optimal control of forward-backward stochastic systems
- A general maximum principle for forward-backward stochastic control systems of mean-field type
- A global stochastic maximum principle for fully coupled forward-backward stochastic systems
- A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps
- Stochastic maximum principle for optimal control problem of forward and backward system
- Maximum principle for forward-backward doubly stochastic control systems and applications
- Stochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equation
- Stochastic maximum principle for mean-field forward-backward stochastic control system with terminal state constraints
- Stochastic maximum principle for mixed regular-singular control problems of forward-backward systems
- scientific article; zbMATH DE number 1343080
maximum principleBMO-martingalequadratic BSDEsforward-backward stochastic control systemslinear BSDEs with unbounded coefficients
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)
Cites Work
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
- BSDE with quadratic growth and unbounded terminal value
- Solvability of backward stochastic differential equations with quadratic growth
- Utility maximization in incomplete markets
- Pricing via utility maximization and entropy.
- A General Stochastic Maximum Principle for Optimal Control Problems
- Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
- The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
- Title not available (Why is that?)
- Title not available (Why is that?)
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Continuous exponential martingales and BMO
- Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
- Harmonic analysis of stochastic equations and backward stochastic differential equations
- On well-posedness of forward-backward SDEs -- a unified approach
- Time-inconsistent stochastic linear-quadratic control
- Exponential Hedging and Entropic Penalties
- Backward stochastic differential equations and applications to optimal control
- Open problems on backward stochastic differential equations
- On a Class of Stochastic Optimal Control Problems Related to BSDEs with Quadratic Growth
- Solution of forward-backward stochastic differential equations
- Stochastic maximum principle for optimal control of SPDEs
- A risk-sensitive maximum principle
- A new risk-sensitive maximum principle
- Weak solutions for forward-backward SDEs-a martingale problem approach
- Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
- Existence and Uniqueness of a Solution for Stochastic Equations with Respect to Semimartingales
- Backward stochastic differential equations. From linear to fully nonlinear theory
- Stochastic global maximum principle for optimization with recursive utilities
- A class of globally solvable Markovian quadratic BSDE systems and applications
- Quadratic BSDE with \(\mathbb{L}^{2}\)-terminal data: Krylov's estimate, Itô-Krylov's formula and existence results
- A global stochastic maximum principle for fully coupled forward-backward stochastic systems
Cited In (3)
- 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
- Second‐order necessary optimality conditions for discrete‐time stochastic systems
This page was built for publication: A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5081645)
