Maximum principle for stochastic optimal control problem of forward-backward stochastic difference systems

DOI10.1080/00207179.2021.1889033MaRDI QIDQ5095532zbMATH OpenOpenAlexFDO

Authors Shaolin Ji, Haodong Liu

Publication date 9 August 2022

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1812.11283

zbMATH Keywords

backward stochastic difference equationsforward-backward stochastic difference equationsmaximum principlemonotone conditionstochastic optimal control

Mathematics Subject Classification ID

Stochastic difference equations (39A50) Optimal stochastic control (93E20)

Abstract: In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{Delta}Ss). Two types of FBS{Delta}Ss are investigated. The first one is described by a partially coupled forward-backward stochastic difference equation (FBS{Delta}E) and the second one is described by a fully coupled FBS{Delta}E. By adopting an appropriate representation of the product rule and an appropriate formulation of the backward stochastic difference equation (BS{Delta}E), we deduce the adjoint difference equation. Finally, the maximum principle for this optimal control problem with the control domain being convex is established.

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Cited in

(17)

• Stochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equation
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