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

作者：Ji, Shaolin^*; Wei, Qingmeng; Zhang, Xiumin

来源：Abstract and Applied Analysis, 2012, 537376.

DOI：10.1155/2012/537376

• PROBABILISTIC APPROACH
• LARGE INVESTOR
• SYSTEMS

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.

• 出版日期2012
• 单位山东大学