A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:407

Article

Ji, Shaolin¹  Wei, Qingmeng^2,3 

[1] Shandong Univ, Inst Financial Studies, Jinan 250100, Peoples R China

[2] NE Normal Univ, Sch Math & Stat, Changchun 130024, Peoples R China

[3] Shandong Univ, Inst Math, Jinan 250100, Peoples R China

关键词: Fully coupled FBSDEs;    Maximum principle;    State constraints;    Ekeland's variational principle;   

DOI  :  10.1016/j.jmaa.2013.05.013

来源: Elsevier

【 摘 要 】

We study a stochastic optimal control problem where the controlled system is described by a fully coupled forward-backward stochastic differential equation (FBSDE), while the forward state is constrained in a convex set at the terminal time. By introducing an equivalent backward control problem, we use terminal variation approach to obtain a stochastic maximum principle. Applications to the utility optimization problem in the financial market and state constrained stochastic linear quadratic control models are investigated. (c) 2013 Elsevier Inc. All rights reserved.

【 授权许可】

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