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

zbMATH Open1153.93534MaRDI QIDQ5452980FDOQ5452980

Authors: Jingtao Shi 

Publication date: 4 April 2008

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• scientific article; zbMATH DE number 1343080

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)

Cited In (6)

• 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
• 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

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