Stochastic Maximum Principle of Near-Optimal Control of Fully Coupled Forward-Backward Stochastic Differential Equation
Author
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-03-20
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
This paper first makes an attempt to investigate the near-optimal control of systems governed by fully nonlinear coupled forward-backward stochastic differential equations (FBSDEs) under the assumption of a convex control domain.
By Ekeland’s variational principle and some basic estimates for state processes and adjoint processes, we establish the necessary conditions for any ε -near optimal control in a local form with an error order of exact ε 1 / 2 .
Moreover, under additional convexity conditions on Hamiltonian function, we prove that an ε -maximum condition in terms of the Hamiltonian in the integral form is sufficient for near-optimality of order ε 1 / 2 .
American Psychological Association (APA)
Tang, Maoning. 2014. Stochastic Maximum Principle of Near-Optimal Control of Fully Coupled Forward-Backward Stochastic Differential Equation. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-12.
https://search.emarefa.net/detail/BIM-1013767
Modern Language Association (MLA)
Tang, Maoning. Stochastic Maximum Principle of Near-Optimal Control of Fully Coupled Forward-Backward Stochastic Differential Equation. Abstract and Applied Analysis No. 2014 (2014), pp.1-12.
https://search.emarefa.net/detail/BIM-1013767
American Medical Association (AMA)
Tang, Maoning. Stochastic Maximum Principle of Near-Optimal Control of Fully Coupled Forward-Backward Stochastic Differential Equation. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-12.
https://search.emarefa.net/detail/BIM-1013767
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1013767