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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| Format: | Article |
| Language: | English |
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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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| _version_ | 1849307872237715456 |
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| author | Shaolin Ji Qingmeng Wei Xiumin Zhang |
| author_facet | Shaolin Ji Qingmeng Wei Xiumin Zhang |
| author_sort | Shaolin Ji |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-1b8a8db6486a4f92a1f765e84775b5aa |
| institution | Kabale University |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2012-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-1b8a8db6486a4f92a1f765e84775b5aa2025-08-20T03:54:37ZengWileyAbstract and Applied Analysis1085-33751687-04092012-01-01201210.1155/2012/537376537376A Maximum Principle for Controlled Time-Symmetric Forward-Backward Doubly Stochastic Differential Equation with Initial-Terminal Sate ConstraintsShaolin Ji0Qingmeng Wei1Xiumin Zhang2Institute for Financial Studies and Institute of Mathematics, Shandong University, Shandong, Jinan 250100, ChinaInstitute of mathematics, Shandong University, Shandong, Jinan 250100, ChinaInstitute of mathematics, Shandong University, Shandong, Jinan 250100, ChinaWe 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.http://dx.doi.org/10.1155/2012/537376 |
| spellingShingle | Shaolin Ji Qingmeng Wei Xiumin Zhang A Maximum Principle for Controlled Time-Symmetric Forward-Backward Doubly Stochastic Differential Equation with Initial-Terminal Sate Constraints Abstract and Applied Analysis |
| title | A Maximum Principle for Controlled Time-Symmetric Forward-Backward Doubly Stochastic Differential Equation with Initial-Terminal Sate Constraints |
| title_full | A Maximum Principle for Controlled Time-Symmetric Forward-Backward Doubly Stochastic Differential Equation with Initial-Terminal Sate Constraints |
| title_fullStr | A Maximum Principle for Controlled Time-Symmetric Forward-Backward Doubly Stochastic Differential Equation with Initial-Terminal Sate Constraints |
| title_full_unstemmed | A Maximum Principle for Controlled Time-Symmetric Forward-Backward Doubly Stochastic Differential Equation with Initial-Terminal Sate Constraints |
| title_short | A Maximum Principle for Controlled Time-Symmetric Forward-Backward Doubly Stochastic Differential Equation with Initial-Terminal Sate Constraints |
| title_sort | maximum principle for controlled time symmetric forward backward doubly stochastic differential equation with initial terminal sate constraints |
| url | http://dx.doi.org/10.1155/2012/537376 |
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