Abstract and Applied Analysis

Stochastic Maximum Principle of Near-Optimal Control of Fully Coupled Forward-Backward Stochastic Differential Equation

Maoning Tang

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Abstract

This paper first makes an attempt to investigate the near-optimal control of systems governed by fully nonlinear coupled forward-backward stochastic differential equations (FBSDEs) under the assumption of a convex control domain. By Ekeland’s variational principle and some basic estimates for state processes and adjoint processes, we establish the necessary conditions for any ε-near optimal control in a local form with an error order of exact ε1/2. Moreover, under additional convexity conditions on Hamiltonian function, we prove that an ε-maximum condition in terms of the Hamiltonian in the integral form is sufficient for near-optimality of order ε1/2.

Article information

Source
Abstr. Appl. Anal., Volume 2014, Special Issue (2013), Article ID 361259, 12 pages.

Dates
First available in Project Euclid: 6 October 2014

Permanent link to this document
https://projecteuclid.org/euclid.aaa/1412605898

Digital Object Identifier
doi:10.1155/2014/361259

Mathematical Reviews number (MathSciNet)
MR3193503

Citation

Tang, Maoning. Stochastic Maximum Principle of Near-Optimal Control of Fully Coupled Forward-Backward Stochastic Differential Equation. Abstr. Appl. Anal. 2014, Special Issue (2013), Article ID 361259, 12 pages. doi:10.1155/2014/361259. https://projecteuclid.org/euclid.aaa/1412605898


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