A maximum principle for controlled time-symmetric forward-backward stochastic differential equations with initial-terminal sate constraints and its applications

Details A maximum principle for controlled time-symmetric forward-backward stochastic differential equations with initial-terminal sate constraints and its applications A maximum principle for controlled time-symmetric forward-backward stochastic differential equations with initial-terminal sate constraints and its applications

2010-05-18

arxiv.org/abs/1005.3085v1

Mathematics

Optimization and Control

31 pages

Scientific paper

In this paper, we study the optimal control problems of controlled time-symmetric forward-backward stochastic differential equations with initial-terminal sate constraints. Applying the terminal perturbation method and Ekeland's variation principle, a necessary condition of the stochastic optimal control i.e. stochastic maximum principle is derived. Applications to backward doubly stochastic linear-quadratic control models as well as other specific models are investigated.

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