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

Shaolin Ji | Zendy; Qingmeng Wei | Zendy; Xiumin Zhang | Zendy

Open Access

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

Author(s) -

Shaolin Ji,

Qingmeng Wei,

Xiumin Zhang

Publication year - 2012

Publication title -

abstract and applied analysis

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.228

H-Index - 56

eISSN - 1687-0409

pISSN - 1085-3375

DOI - 10.1155/2012/537376

Subject(s) - mathematics , terminal (telecommunication) , stochastic differential equation , maximum principle , optimal control , quadratic equation , perturbation (astronomy) , stochastic control , mathematical analysis , mathematical optimization , computer science , telecommunications , geometry , physics , quantum mechanics

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

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