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...
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| Format: | Article |
| Language: | English |
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Wiley
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/432718 |
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| _version_ | 1849409598108205056 |
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| author | Qingmeng Wei Xinling Xiao |
| author_facet | Qingmeng Wei Xinling Xiao |
| author_sort | Qingmeng Wei |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-759bd10967c3473aadca155b12cf23ac |
| institution | Kabale University |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-759bd10967c3473aadca155b12cf23ac2025-08-20T03:35:27ZengWileyAbstract and Applied Analysis1085-33751687-04092014-01-01201410.1155/2014/432718432718An Optimal Control Problem of Forward-Backward Stochastic Volterra Integral Equations with State ConstraintsQingmeng Wei0Xinling Xiao1School of Mathematics and Statistics, Northeast Normal University, Changchun 130024, ChinaSchool of Mathematics, Shandong University, Jinan 250100, ChinaThis 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.http://dx.doi.org/10.1155/2014/432718 |
| spellingShingle | Qingmeng Wei Xinling Xiao An Optimal Control Problem of Forward-Backward Stochastic Volterra Integral Equations with State Constraints Abstract and Applied Analysis |
| title | An Optimal Control Problem of Forward-Backward Stochastic Volterra Integral Equations with State Constraints |
| title_full | An Optimal Control Problem of Forward-Backward Stochastic Volterra Integral Equations with State Constraints |
| title_fullStr | An Optimal Control Problem of Forward-Backward Stochastic Volterra Integral Equations with State Constraints |
| title_full_unstemmed | An Optimal Control Problem of Forward-Backward Stochastic Volterra Integral Equations with State Constraints |
| title_short | An Optimal Control Problem of Forward-Backward Stochastic Volterra Integral Equations with State Constraints |
| title_sort | optimal control problem of forward backward stochastic volterra integral equations with state constraints |
| url | http://dx.doi.org/10.1155/2014/432718 |
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