A general maximum principle for optimal control of forward-backward stochastic systems

作者：Wu Zhen^*

来源：Automatica, 2013, 49(5): 1473-1480.

DOI：10.1016/j.automatica.2013.02.005

• Stochastic optimal control
• Maximum principle
• Backward stochastic differential equation
• Forward backward stochastic control system
• Linear-quadratic optimal control

A general maximum principle for optimal control problems derived by forward-backward stochastic systems is established, where control domains are non-convex and forward diffusion coefficients explicitly depend on control variables. These optimal control problems have broad applications in mathematical finance and economics such as the recursive mean-variance portfolio choice problems. The maximum principle is applied to study a forward-backward linear-quadratic optimal control problem with a non-convex control domain; an optimal solution is obtained.

• 出版日期2013-5
• 单位山东大学