Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4616654 | Journal of Mathematical Analysis and Applications | 2013 | 11 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Shaolin Ji, Qingmeng Wei,