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A Maximum Principle for Controlled Time-Symmetric Forward-Backward Doubly Stochastic Differential Equation with Initial-Terminal Sate Constraints
Joint Authors
Ji, Shaolin
Zhang, Xiumin
Wei, Qingmeng
Source
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-29, 29 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-12-30
Country of Publication
Egypt
No. of Pages
29
Main Subjects
Abstract EN
We study the optimal control problem of a controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints.
Applying the terminal perturbation method and Ekeland’s variation principle, a necessary condition of the stochastic optimal control, that is, stochastic maximum principle, is derived.
Applications to backward doubly stochastic linear-quadratic control models are investigated.
American Psychological Association (APA)
Ji, Shaolin& Wei, Qingmeng& Zhang, Xiumin. 2012. A Maximum Principle for Controlled Time-Symmetric Forward-Backward Doubly Stochastic Differential Equation with Initial-Terminal Sate Constraints. Abstract and Applied Analysis،Vol. 2012, no. 2012, pp.1-29.
https://search.emarefa.net/detail/BIM-479606
Modern Language Association (MLA)
Ji, Shaolin…[et al.]. A Maximum Principle for Controlled Time-Symmetric Forward-Backward Doubly Stochastic Differential Equation with Initial-Terminal Sate Constraints. Abstract and Applied Analysis No. 2012 (2012), pp.1-29.
https://search.emarefa.net/detail/BIM-479606
American Medical Association (AMA)
Ji, Shaolin& Wei, Qingmeng& Zhang, Xiumin. A Maximum Principle for Controlled Time-Symmetric Forward-Backward Doubly Stochastic Differential Equation with Initial-Terminal Sate Constraints. Abstract and Applied Analysis. 2012. Vol. 2012, no. 2012, pp.1-29.
https://search.emarefa.net/detail/BIM-479606
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-479606