The maximum principle for fully coupled forward-backward stochastic control system with state constraints

MaRDI QIDQ5452980zbMATH OpenFDO

Authors Jingtao Shi

Publication date 4 April 2008

zbMATH Keywords

maximum principlestate constraintsEkeland variational principleforward-backward stochastic control systemspike variation

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Recommendations

• A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints
• Maximum principle for the optimal control problem of a fully coupled stochastic system with state constraints
• Stochastic maximum principle for mean-field forward-backward stochastic control system with terminal state constraints
• The maximum principle for partially observed fully coupled forward and backward stochastic control systems
• scientific article; zbMATH DE number 1343080

Cited in

(10)

• A global stochastic maximum principle for fully coupled forward-backward stochastic systems
• A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type
• 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
• The maximum principle for partially observed fully coupled forward and backward stochastic control systems
• A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints
• 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
• 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

This page was built for publication: The maximum principle for fully coupled forward-backward stochastic control system with state constraints

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5452980)