An Optimal Control Problem of Forward-Backward Stochastic Volterra Integral Equations with State Constraints

An Optimal Control Problem of Forward-Backward Stochastic Volterra Integral Equations with State Constraints

This paper is devoted to the stochastic optimal control problems for systems governed by forward-backward stochastic Volterra integral equations (FBSVIEs, for short) with state constraints. Using Ekeland's variational principle, we obtain one kind of variational inequalities. Then, by dual meth...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Abstract and Applied Analysis 2014-01, Vol.2014 (2014), p.480-495-646
Hauptverfasser: Wei, Qingmeng, Xiao, Xinling
Format: Artikel
Sprache:eng
Schlagworte:
Calculus
Control systems
Economic models
Integral equations
Investments
Optimization
Ordinary differential equations
Variational principles
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:This paper is devoted to the stochastic optimal control problems for systems governed by forward-backward stochastic Volterra integral equations (FBSVIEs, for short) with state constraints. Using Ekeland's variational principle, we obtain one kind of variational inequalities. Then, by dual method, we derive a stochastic maximum principle which gives the necessary conditions for the optimal controls.
ISSN:1085-3375
1687-0409
DOI:10.1155/2014/432718