A general maximum principle for optimal control of forward-backward stochastic systems

被引：87

作者：

Wu, Zhen ^{[1
]}

机构：

[1] Shandong Univ, Sch Math, Jinan 250100, Peoples R China

来源：

AUTOMATICA | 2013年 / 49卷 / 05期

关键词：

Stochastic optimal control; Maximum principle; Backward stochastic differential equation; Forward backward stochastic control system; Linear-quadratic optimal control; DIFFERENTIAL-EQUATIONS;

D O I：

10.1016/j.automatica.2013.02.005

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

A general maximum principle for optimal control problems derived by forward-backward stochastic systems is established, where control domains are non-convex and forward diffusion coefficients explicitly depend on control variables. These optimal control problems have broad applications in mathematical finance and economics such as the recursive mean-variance portfolio choice problems. The maximum principle is applied to study a forward-backward linear-quadratic optimal control problem with a non-convex control domain; an optimal solution is obtained. (C) 2013 Elsevier Ltd. All rights reserved.

引用

页码：1473 / 1480

页数：8

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