کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4616654 | 1339356 | 2013 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A maximum principle for fully coupled forward–backward stochastic control systems with terminal state constraints
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آنالیز ریاضی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: A maximum principle for fully coupled forward–backward stochastic control systems with terminal state constraints A maximum principle for fully coupled forward–backward stochastic control systems with terminal state constraints](/preview/png/4616654.png)
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Analysis and Applications - Volume 407, Issue 2, 15 November 2013, Pages 200–210
Journal: Journal of Mathematical Analysis and Applications - Volume 407, Issue 2, 15 November 2013, Pages 200–210
نویسندگان
Shaolin Ji, Qingmeng Wei,