OPTIMALITY VARIATIONAL PRINCIPLE FOR CONTROLLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH MIXED INITIAL-TERMINAL CONDITIONS

被引：92

作者：

Yong, Jiongmin ^{[1
]}

机构：

[1] Univ Cent Florida, Dept Math, Orlando, FL 32816 USA

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2010年 / 48卷 / 06期

关键词：

forward-backward stochastic differential equations; mixed initial-terminal conditions; optimal stochastic control; optimality variational principle; spike variation technique; MAXIMUM PRINCIPLE; RISK; AMBIGUITY;

D O I：

10.1137/090763287

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

An optimal control problem for general coupled forward-backward stochastic differential equations (FBSDEs) with mixed initial-terminal conditions is considered. The control domain is not assumed to be convex, and the control appears in the diffusion coefficient of the forward equation. Necessary conditions of Pontraygin's type for the optimal controls are derived by means of spike variation techniques.

引用

页码：4119 / 4156

页数：38

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[1] BEHAVIOR OF THE RATIONAL MAN BEFORE RISK - CRITICISM OF AMERICAN SCHOOL POSTULATES AND AXIOMS [J].