A Maximum Principle for Controlled Time-Symmetric Forward-Backward Doubly Stochastic Differential Equation with Initial-Terminal Sate Constraints

Shaolin Ji, Qingmeng Wei and Xiumin Zhang

Abstract and Applied Analysis, 2012, vol. 2012, 1-29

Abstract:

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.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:537376

DOI: 10.1155/2012/537376

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