An Optimal Control Problem of Forward-Backward Stochastic Volterra Integral Equations with State Constraints

Qingmeng Wei and Xinling Xiao

Abstract and Applied Analysis, 2014, vol. 2014, 1-16

Abstract:

This paper is devoted to the stochastic optimal control problems for systems governed by forward-backward stochastic Volterra integral equations (FBSVIEs, for short) with state constraints. Using Ekeland's variational principle, we obtain one kind of variational inequalities. Then, by dual method, we derive a stochastic maximum principle which gives the necessary conditions for the optimal controls.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:432718

DOI: 10.1155/2014/432718

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