An Optimal Control Problem of Forward-Backward Stochastic Volterra Integral Equations with State Constraints

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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Main Authors: Qingmeng Wei, Xinling Xiao
Format: Article
Language:English
Published: Hindawi Limited 2014-01-01
Series:Abstract and Applied Analysis
Online Access:http://dx.doi.org/10.1155/2014/432718
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spelling doaj-759bd10967c3473aadca155b12cf23ac2020-11-25T00:04:40ZengHindawi LimitedAbstract 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
collection DOAJ
language English
format Article
sources DOAJ
author Qingmeng Wei
Xinling Xiao
spellingShingle Qingmeng Wei
Xinling Xiao
An Optimal Control Problem of Forward-Backward Stochastic Volterra Integral Equations with State Constraints
Abstract and Applied Analysis
author_facet Qingmeng Wei
Xinling Xiao
author_sort Qingmeng Wei
title 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_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_sort optimal control problem of forward-backward stochastic volterra integral equations with state constraints
publisher Hindawi Limited
series Abstract and Applied Analysis
issn 1085-3375
1687-0409
publishDate 2014-01-01
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.
url http://dx.doi.org/10.1155/2014/432718
work_keys_str_mv AT qingmengwei anoptimalcontrolproblemofforwardbackwardstochasticvolterraintegralequationswithstateconstraints
AT xinlingxiao anoptimalcontrolproblemofforwardbackwardstochasticvolterraintegralequationswithstateconstraints
AT qingmengwei optimalcontrolproblemofforwardbackwardstochasticvolterraintegralequationswithstateconstraints
AT xinlingxiao optimalcontrolproblemofforwardbackwardstochasticvolterraintegralequationswithstateconstraints
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