Stochastic optimal control and forward-backward stochastic differential equations

被引：0

作者：

Yong, Jiongmin ^{[1
,2
]}

机构：

[1] Fudan Univ, Dept Math, Lab Math Nonlinear Sci, Shanghai 200433, Peoples R China

[2] Fudan Univ, Inst Math Finance, Shanghai 200433, Peoples R China

来源：

COMPUTATIONAL & APPLIED MATHEMATICS | 2002年 / 21卷 / 01期

关键词：

optimal control; forward-backward stochastic differential equations; necessary conditions; Pontryagin's maximum principle;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Optimal control theory for Ito's type stochastic differential equations is very closely related to two-point boundary value problems for stochastic differential equations which are called forward-backward stochastic differential equations (FBSDEs, for short). Existence of optimal controls gives the solvability of certain FBSDEs. On the other hand, some ideas of FBSDE theory can help to construct optimal controls, whenever they exist. Some special cases will be discussed to illustrate the above-mentioned ideas.

引用

页码：369 / 403

页数：35

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