OPTIMAL CONTROL PROBLEMS OF FORWARD-BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS

被引：28

作者：

Shi, Yufeng ^{[1
,2
]}

Wang, Tianxiao ^{[3
]}

Yong, Jiongmin ^{[4
,5
]}

机构：

[1] Shandong Univ Finance & Econ, Sch Stat, Jinan 250014, Peoples R China

[2] Shandong Univ, Inst Financial Studies, Jinan 250100, Peoples R China

[3] Sichuan Univ, Sch Math, Chengdu 610065, Peoples R China

[4] Univ Cent Florida, Dept Math, Orlando, FL 32816 USA

[5] Fudan Univ, Sch Math Sci, Shanghai 200433, Peoples R China

来源：

MATHEMATICAL CONTROL AND RELATED FIELDS | 2015年 / 5卷 / 03期

基金：

美国国家科学基金会; 中国博士后科学基金;

关键词：

Forward-backward stochastic Volterra integral equations; adapted Msolution; stochastic maximum principle; duality principle; stochastic Fredholm-Volterra integral equations;

D O I：

10.3934/mcrf.2015.5.613

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Optimal control problems of forward-backward stochastic Volterra integral equations (FBSVIEs, in short) are formulated and studied. A general duality principle is established for linear backward stochastic integral equation and linear stochastic Fredholm-Volterra integral equation with mean-field. With the help of such a duality principle, together with some other new delicate and subtle skills, Pontryagin type maximum principles are proved for two optimal control problems of FBSVIEs.

引用

页码：613 / 649

页数：37

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