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, issue 1

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
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1155/2014/432718

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:2014:y:2014:i:1:n:432718

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 ().