Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
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DOI：
10.1137/090763287
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发表时间：
2010-03
期刊：
影响因子：
--
通讯作者：
J. Yong
中科院分区：
文献类型：
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作者：
J. Yong
研究了一般耦合正倒向随机微分方程在混合初终条件下的最优控制问题。控制域不被假定为凸的，控制出现在前向方程的扩散系数中。利用脉冲变分技术导出了最优控制的Pontraygin型必要条件。
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.