The Maximum Principle of Forward Backward Transformation Stochastic Control System
Pure and Applied Mathematics Journal
Volume 4, Issue 3, June 2015, Pages: 109-114
Received: May 13, 2015; Accepted: May 22, 2015; Published: Jun. 1, 2015
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Authors
Li Zhou, School of Information, Beijing Wuzi University, Beijing, China
Hong Zhang, School of Information, Beijing Wuzi University, Beijing, China
Jie Zhu, School of Information, Beijing Wuzi University, Beijing, China
Shucong Ming, Chinese Academy of Finance and Development, Central University of Finance and Economics, Beijing, China
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Abstract
In the paper, we discuss the maximum principle for the forward backward stochastic system. Assume the system follows a coupled forward backward stochastic differential equation modulated by a Marlcov chain and the control domain is convex. By convex variable method, we give the necessary and sufficient conditions for the existence of optimal control.
Keywords
Maximum Principle, Stochastic Control System, Forward Backward Transformation
To cite this article
Li Zhou, Hong Zhang, Jie Zhu, Shucong Ming, The Maximum Principle of Forward Backward Transformation Stochastic Control System, Pure and Applied Mathematics Journal. Vol. 4, No. 3, 2015, pp. 109-114. doi: 10.11648/j.pamj.20150403.18
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