A RISK-SENSITIVE GLOBAL MAXIMUM PRINCIPLE FOR CONTROLLED FULLY COUPLED FBSDES WITH APPLICATIONS

This paper is concerned with a kind of risk-sensitive optimal control problem for fully coupled forward-backward stochastic systems. The control variable enters the diffusion term of the state equation and the control do main is not necessarily convex. A new global maximum principle is obtained without assuming that the value function is smooth. The maximum condition, the first- and second-order adjoint equations heavily depend on the risk-sensitive parameter. An optimal control problem with a fully coupled linear forward-backward stochastic system and an exponential-quadratic cost functional is discussed. The optimal feedback control and optimal costare obtained by using Girsanov's theorem and completion-of-squares approachvia risk-sensitive Riccati equations. A local solvability result of coupled risk-sensitive Riccati equations is given by Picard-Lindelof's Theorem.