OPTIMALITY VARIATIONAL PRINCIPLE FOR CONTROLLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH MIXED INITIAL-TERMINAL CONDITIONS
Abbreviated Journal Title
SIAM J. Control Optim.
forward-backward stochastic differential equations; mixed; initial-terminal conditions; optimal stochastic control; optimality; variational principle; spike variation technique; MAXIMUM PRINCIPLE; UTILITY; RISK; EXPECTATION; AMBIGUITY; AXIOMS; Automation & Control Systems; Mathematics, Applied
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.
Siam Journal on Control and Optimization
"OPTIMALITY VARIATIONAL PRINCIPLE FOR CONTROLLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH MIXED INITIAL-TERMINAL CONDITIONS" (2010). Faculty Bibliography 2010s. 990.