Communications in Information & Systems
- Commun. Inf. Syst.
- Volume 6, Number 4 (2006), 321-338.
A maximum principle for stochastic optimal control with terminal state constraints, and its applications
This paper is concerned with a stochastic optimal control problem where the controlled system is described by a forward–backward stochastic differential equation (FBSDE), while the forward state is constrained in a convex set at the terminal time. An equivalent backward control problem is introduced. By using Ekeland’s variational principle, a stochastic maximum principle is obtained. Applications to state constrained stochastic linear–quadratic control models and a recursive utility optimization problem are investigated.
Commun. Inf. Syst., Volume 6, Number 4 (2006), 321-338.
First available in Project Euclid: 6 July 2007
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Ji, Shaolin; Zhou, Xun Yu. A maximum principle for stochastic optimal control with terminal state constraints, and its applications. Commun. Inf. Syst. 6 (2006), no. 4, 321--338. https://projecteuclid.org/euclid.cis/1183729000