Optimal Control Problems Of Forward-Backward Stochastic Volterra Integral Equations

Keywords

Adapted M-solution; Duality principle; Forward-backward stochastic Volterra integral equations; Stochastic Fredholm-Volterra integral equations; Stochastic maximum principle

Abstract

Optimal control problems of forward-backward stochastic Volterra integral equations (FBSVIEs, in short) are formulated and studied. A general duality principle is established for linear backward stochastic integral equation and linear stochastic Fredholm-Volterra integral equation with mean-field. With the help of such a duality principle, together with some other new delicate and subtle skills, Pontryagin type maximum principles are proved for two optimal control problems of FBSVIEs.

Publication Date

9-1-2015

Publication Title

Mathematical Control and Related Fields

Volume

5

Issue

3

Number of Pages

613-649

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.3934/mcrf.2015.5.613

Socpus ID

84937426474 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/84937426474

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