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, issue 1

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
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1155/2012/537376

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2012:y:2012:i:1:n:537376

Access Statistics for this article

More articles in Abstract and Applied Analysis from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().