Necessary condition for optimality of forward–backward doubly system

We consider a stochastic control problem in the case where the set of control domain is convex, the system is governed by a nonlinear forward–backward doubly stochastic differential equation with given terminal condition. The criteria to be minimized is in the general form, with initial and terminal...

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Bibliographic Details
Published in:Afrika mathematica 2015-06, Vol.26 (3-4), p.575-584
Main Author: Adel, Chala
Format: Article
Language:English
Subjects:
Applications of Mathematics
History of Mathematical Sciences
Mathematics
Mathematics and Statistics
Mathematics Education
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Summary:We consider a stochastic control problem in the case where the set of control domain is convex, the system is governed by a nonlinear forward–backward doubly stochastic differential equation with given terminal condition. The criteria to be minimized is in the general form, with initial and terminal costs. We derive a maximum principle of optimality.
ISSN:1012-9405
2190-7668
DOI:10.1007/s13370-014-0227-1