A Maximum Principle for General Backward Stochastic Differential Equation

被引：0

作者：

WU Shuang ^{[1
,2
]}

SHU Lan ^{[1
]}

机构：

[1] School of Mathematical Sciences,University of Electronic Science and Technology of China

[2] Department of Applied Mathematics,China University of Petroleum

来源：

Journal of Systems Science & Complexity | 2016年 / 29卷 / 06期

关键词：

Adjoint equations; backward stochastic differential equation; maximum principle; variational inequality;

D O I：

暂无

中图分类号：

O211.63 [随机微分方程];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper,the authors consider a stochastic control problem where the system is governed by a general backward stochastic differential equation.The control domain need not be convex,and the diffusion coefficient can contain a control variable.The authors obtain a stochastic maximum principle for the optimal control of this problem by virtue of the second-order duality method.

引用

页码：1505 / 1518

页数：14

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