A Maximum Principle for Controlled Time-Symmetric Forward-Backward Doubly Stochastic Differential Equation with Initial-Terminal Sate Constraints
We study the optimal control problem of a controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints. Applying the terminal perturbation method and Ekeland’s variation principle, a necessary condition of the stochastic optimal control,...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2012-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2012/537376 |
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| Summary: | We study the optimal control problem of a controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints. Applying the terminal perturbation method and Ekeland’s variation principle, a necessary condition of the stochastic optimal control, that is, stochastic maximum principle, is derived. Applications to backward doubly stochastic linear-quadratic control models are investigated. |
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| ISSN: | 1085-3375 1687-0409 |